Abstract: In this paper a multi-agent model which analyses for systemic risk from the core-periphery structure in interbank network is proposed. Our model consists of a network of banks, which endogenously determine their optimal portfolio allocation by maximizing profits subject to liquidity and capital constraints. For the simulation framework to be useful for assessment of central bank policy, banking firm behavioral responses must be modelled in the context of interbank market conditions and with automated access to balance sheet and network exposure data to anchor the financial decisions being simulated. Different possible network structures are compared, while interbank markets network with the core-periphery topology is more susceptible to common shock and contagion than scale-free network, it tend to be more resilient to financial distress than others under macroprudential regulation and policy regime.

Key words: multi-agent model, interbank markets, systemic risk, core-periphery network, common shock