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We propose a multi-agent approach to compare the effectiveness of macro-prudential capital requirements, where banks are embedded in an artificial macroeconomy. Capital requirements are derived from systemic-risk metrics that reflect both the vulnerability or impact of financial institutions. Our objective is to explore how systemic-risk measures could be translated in capital requirements and test them in a comprehensive framework. Based on our counterfactual scenarios, we find that macro-prudential capital requirements can mitigate systemic risk, but there is a trade-off between market and balance-sheet based policies in terms of banks' losses and credit supply.

A Multi-Agent Methodology to Assess the Effectiveness of Alternative Systemic Risk Adjusted Capital Requirements