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Systemic risk is a rapidly developing area of research. Classical financialmodels often do not adequately reflect the phenomena of bubbles, crises, andtransitions between them during credit cycles. To study very improbable events,systemic risk methodologies utilise advanced mathematical and computationaltools, such as complex systems, chaos theory, and Monte Carlo simulations. Inthis paper, a relatively simple mathematical formalism is applied to provide aunified framework for modeling credit cycles and systemic risk assessment. Theproposed model is analyzed in detail to assess whether it can reflect verydifferent states of the economy. Basing on those results, measures of systemicrisk are constructed to provide information regarding the stability of thesystem. The formalism is then applied to describe the full credit cycle withthe explanation of causal relationships between the phases expressed in termsof parameters derived from real-world quantities. The framework can benaturally interpreted and understood with respect to different economicsituations and easily incorporated into the analysis and decision-makingprocess based on classical models, significantly enhancing their quality andflexibility.

The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment