Author: Sangwon Suh(Chung-Ang University)

This paper presents an agent-based model for assessing systemic risk of the Korean financial system. The model not only incorporates various systemic risk channels but also assumes that financial institutions which are subject to financial regulations show heterogeneous behaviors on their asset-liability portfolios. The model also encompasses five financial sectors with reflecting sector-specific features. This paper shows systemic risk levels and stress test results using the model and actual data on Korean financial sectors.