PANDEMACE/DESCRIPTION at master · FLAME-HPC/PANDEMACE · GitHub

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# The PANDEMACE project

# Authors

(c) Copyright 2014 Herbert Dawid, Philipp Harting, Sander van der Hoog, Michael Neugart
(c) Copyright 2014-2016 Sander van der Hoog
(c) Copyright 2016-2020 Marco Gross, Björn Hilberg, Sander van der Hoog, Dirk Kohlweyer
(c) Copyright 2020  Marco Gross, Björn Hilberg, Sander van der Hoog, Dirk Kohlweyer

# License

This program is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, version 3 of the License.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program in the file COPYING.
If not, see <https://www.gnu.org/licenses/gpl-3.0.txt>.

# Description

## 24.04.2020 Start of PANDEMACE Git Repository

This is the Git repository for the source code of the PANDEMACE model.

# PANDEMACE Features

This model is an extension of the EURACE@ECB+IMF Housing Market Model of the euro Area (Version 1.0, 2020).

Features in this model PANDEMACE version 1.0 are:
* Simple SEIR pendemic model

## 20.04.2020 Start of EURACE@ECB+IMF Git Repository

This is the Git repository for code of the EURACE@ECB+IMF Housing Market Model of the euro Area.

# EURACE@ECB+IMF Features

This model is an extension of the Eurace@Unibi Standard Version (2014).

Modified Version (2016): Financial Fragility Network Model v1.0

Features of Financial Fragility Network Model version 1.0 are:
* Uses the foundational internal risk based approach (F-IRB)
* Banks compute only the PD (endogenous prob. of default) by using the exponential distribution and the debt-to-equity ratio of the firm.
* Other risk parameters (LGD, EAD) are set by the regulator
* Firm loans are unsecured (uncollateralized), therefore exposure at default (EAD) is 100% of the loan (LGD=1)
* Interest rate setting on firm loans uses a simple mark-up rule on the ECB interest rate

Modified Version (2020): EURACE@ECB+IMF Model v1.0

Features in this model EURACE@ECB+IMF version 1.0 are:
* Markets for mortgage loans, housing real-estate, and a rental market are included
* Banks use the advanced internal risk based approach (A-IRB)
* Banks not only estimate the PD, but also LGD and EAD
* Point-in-time (PiT) PD and LGD are computed by collecting data on defaults and loan losses over one quarter
* Through-the-cycle (ttc) PD and LGD using a moving average over 20 quarters of data
* Loan loss reserves for firm loans and mortgage loans are tracked over time separately
* Interest rate setting on deposits follows from an empirical Taylor rule
* Interest rate setting on firm loans follows from PD and LGD computations for firms
* Interest rate setting on mortgage loans follows from PD and LGD computations for households

New agents:
* NSA agent: collects information about the firm-bank network of loan relationships.

New markets
* Mortgage market: Banks create mortgage loans to Households.
* Secondary housing market: Households buy and sell housing units.
* Rental market: Households owning additional housing units let (rent out) to Households not owning.