System Dynamics: When the Crash Becomes Its Own Engine

Описание и применение

Модель спирали маржи, реализованная в Crash Simulator, демонстрирует, как кредитное плечо усиливает падение цен и как вмешательство ликвидности может остановить цикл.

Задача

Traditional risk models miss the self‑reinforcing nature of leveraged market crashes, leading to underestimation of tail risk.

Результат

The simulator captures the endogeneity of crashes, showing how leverage accelerates downside and how interventions break the loop, improving risk management.

Рабочий процесс

• 1. Define state variables: price, margin‑debt stock, margin threshold.
• 2. Model iteration: price drop → equity falls below threshold → forced selling flow activates → further price drop.
• 3. Iterate until de‑leveraging or external intervention occurs.
• 4. Calibrate model using historical crash data (2008, 2020).
• 5. Use simulator to test intervention scenarios (e.g., liquidity injections).

Доказательства

A crash is a process, not a point.

Источник

In 2020 and 2008 rescues were not about fixing the news, they were about breaking the loop.

Источник