Rola percepcji ryzyka i niepewności w ocenie ryzyka systemowego. Podejście symulacyjne ABM
The Role of Risk and Uncertainty Perception in Systemic Risk Assessment. The Agent-Based Simulation

Summary/Abstract: This article addresses the role of risk perception and uncertainty in the generation and amplification of systemic risk. The article highlights the factors that influence how financial institutions perceive risk (“perception of risk”) and how financial institutions, in turn, imagine themselves to be perceived by other financial and business entities (“perception of uncertainty”). The analysis is based on agent-based simulations of decisions by participants in the fixing procedure and transactions on the interbank market. This model is a part of a broader project that aims to model the relationship between the economy and the financial sector. The developed model of the interbank market enables the assessment of systemic risk in Poland under the conditions specified in the counterfactual scenarios. The paper presents the results of a simulation of withdrawal of deposits from Polish banks when market uncertainty increases. The results confirm that the subjective probability of occurrence of a systemic event as well as the confidence in financial stability play a crucial role in the generation and amplification of systemic risk. The perception of risk and uncertainty may affect the resilience of the system. That perception may also make the structure of the financial system more vulnerable to external shocks. The relevance of research on systemic risk perception in Poland, similar to a survey conducted in the United Kingdom by the Bank of England, was also confirmed.

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