Agent-Based Cognitive Simulation for Financial Stability

;; Modello: Solvibilità dei creditori sotto eventi avversi - Versione Basel III
;; Agent-Based Model con RWA, CET1, prob-default e loss-given-default espliciti
;; NetLogo Web compatible

globals [
  ;; Banca - Equity e Capitale
  bank-equity-tier1              ;; patrimonio netto primario (CET1)
  bank-debt-tier2                ;; debito subordinato (Tier 2)
  bank-total-equity              ;; Tier 1 + Tier 2

  ;; Banca - Esposizioni e Ponderazione
  total-loans-nominal            ;; impieghi lordi (nominale)
  bank-RWA                       ;; Risk-Weighted Assets
  
  ;; Banca - Metriche Basel III
  CET1-ratio                     ;; CET1 / RWA
  total-capital-ratio            ;; (Tier1 + Tier2) / RWA
  leverage-ratio                 ;; Tier1 / Total Exposure (non ponderato)
  
  ;; Banca - Metriche di qualità crediti
  npl-ratio                      ;; crediti in default / totale
  npl-amount                     ;; ammontare assoluto NPL
  total-provisions               ;; accantonamenti per perdite
  
  ;; Regolamentari
  CET1-req                       ;; requisito CET1 (slider)
  Total-Capital-req              ;; requisito capitale totale
  Leverage-req                   ;; requisito leva
  
  ;; Parametri di shock
  growth-rate
  shock-frequency
  shock-severity
  
  ;; Monitor aggregati
  avg-credit-score
  avg-income
  avg-prob-default
  avg-collateral-value
  shock-counter
  
  shock-epicenter-x
shock-epicenter-y
shock-radius
]

turtles-own [
  debtor-type                    ;; "household" / "firm"
  risk-zone                      ;; 1, 2, 3
  
  ;; Variabili microeconomiche
  income                         ;; Y - reddito annuale
  wealth                         ;; A - patrimonio netto
  deposits                       ;; D - liquidità presso banca
  loan-amount                    ;; L_i - prestito nominale
  
  ;; Qualità creditizia
  credit-score                   ;; MC - merito creditizio (0-100)
  prob-default                   ;; Probability of Default (%)
  loss-given-default             ;; Loss Given Default (%)
  collateral-value               ;; valore garanzie
  risk-weight                    ;; peso RWA per questo debitore
  
  ;; Stato
  default?                       ;; boolean
  in-forbearance?                ;; moratoria su pagamenti
]

patches-own [
  patch-risk-zone                ;; zone 1, 2, 3
]

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;; SETUP
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to setup
  clear-all
  setup-parameters
  setup-world
  setup-bank
  setup-debtors
  reset-ticks
end 

to setup-parameters
  set CET1-req CET1-req-slider
  set Total-Capital-req Total-Capital-req-slider
  set Leverage-req Leverage-req-slider
  
  set growth-rate growth-rate-slider
  set shock-frequency shock-frequency-slider
  set shock-severity shock-severity-slider
  set shock-counter 0
  
  ;; NUOVO: Parametri spaziali
  set shock-epicenter-x shock-epicenter-x-slider
  set shock-epicenter-y shock-epicenter-y-slider
  set shock-radius shock-radius-slider
end 

; SETUP-WORLD MIGLIORATO (Divisione Concentrica)

to setup-world
  ;; VERSIONE MIGLIORATA: Divisione concentrica attorno all'epicentro
  ask patches [
    ;; Calcola distanza dall'epicentro
    let distance-from-epicenter sqrt ((pxcor - shock-epicenter-x) ^ 2 + (pycor - shock-epicenter-y) ^ 2)
    
    ;; Assegna zone di rischio in base alla distanza
    if distance-from-epicenter <= 5 [
      set patch-risk-zone 3  ;; Zona rossa: rischio MASSIMO (dentro 5 unità)
    ]
    if distance-from-epicenter > 5 and distance-from-epicenter <= 10 [
      set patch-risk-zone 2  ;; Zona arancione: rischio MEDIO (5-10 unità)
    ]
    if distance-from-epicenter > 10 [
      set patch-risk-zone 1  ;; Zona blu: rischio BASSO (oltre 10 unità)
    ]
    
    ;; Colora le patch in base al rischio
    if patch-risk-zone = 1 [ set pcolor blue + 2 ]
    if patch-risk-zone = 2 [ set pcolor orange + 1 ]
    if patch-risk-zone = 3 [ set pcolor red - 1 ]
  ]
  
  ;; OPZIONALE: Disegna cerchi di riferimento per visualizzare le zone
  draw-risk-circles shock-epicenter-x shock-epicenter-y
end 

to draw-risk-circles [center-x center-y]
  ;; Disegna cerchi concentrici per chiarezza visiva
  ask patches [
    let distance-from-epicenter sqrt ((pxcor - center-x) ^ 2 + (pycor - center-y) ^ 2)
    if distance-from-epicenter >= 4.8 and distance-from-epicenter <= 5.2 [
      set pcolor yellow  ;; Confine tra zona 3 e 2
    ]
    if distance-from-epicenter >= 9.8 and distance-from-epicenter <= 10.2 [
      set pcolor gray    ;; Confine tra zona 2 e 1
    ]
  ]
  
  ;; Marker al centro (epicentro)
  ask patch center-x center-y [
    set pcolor black  ;; Epicentro
  ]
end 

to setup-bank
  set bank-equity-tier1 1000
  set bank-debt-tier2 200
  set bank-total-equity bank-equity-tier1 + bank-debt-tier2
  
  set total-loans-nominal 0
  set bank-RWA 0
  set CET1-ratio 0
  set total-capital-ratio 0
  set leverage-ratio 0
  
  set npl-amount 0
  set npl-ratio 0
  set total-provisions 0
end 

to setup-debtors
  let n-households num-households-slider
  let n-firms      num-firms-slider

  crt (n-households + n-firms) [
    set default? false
    set in-forbearance? false
    move-to one-of patches
    set risk-zone [patch-risk-zone] of patch-here

    if who < n-households [
      set debtor-type "household"
      set shape "person"
      set size 1.2
    ]
    if who >= n-households [
      set debtor-type "firm"
      set shape "factory"
      set size 1.4
    ]

    if debtor-type = "household" [
      set income  random-normal 35000 5000
      if income < 10000 [ set income 10000 ]
      set wealth  random-normal 200000 50000
      if wealth < 20000 [ set wealth 20000 ]
      set deposits (income * 0.5)
      set loan-amount (income * 1.0)
      set collateral-value wealth * 0.8
    ]

    if debtor-type = "firm" [
      set income  random-normal 80000 15000
      if income < 30000 [ set income 30000 ]
      set wealth  random-normal 400000 100000
      if wealth < 50000 [ set wealth 50000 ]
      set deposits (income * 0.3)
      set loan-amount (income * 2.0)
      set collateral-value wealth * 0.7
    ]

    set credit-score calc-credit-score
    set prob-default calc-prob-default
    set loss-given-default calc-loss-given-default
    set risk-weight calc-risk-weight
    
    recolor-debtor
  ]

  update-bank-metrics
end 

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;; GO
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to go
  if ticks >= max-ticks-slider [ stop ]

  apply-shocks
  update-debtors
  apply-forbearance
  update-bank
  update-aggregates
  update-my-plots

  tick
end 

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;; SHOCK CLIMATICI / FISICI
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;; APPLY-SHOCKS MIGLIORATO (Shock Localizzato)

to apply-shocks
  ;; VERSIONE MIGLIORATA: Shock localizzato per distanza
  ;; Solo gli agenti entro una certa distanza dall'epicentro vengono colpiti
  if random-float 1 < shock-frequency [
    set shock-counter shock-counter + 1
    
    ask turtles with [ not default? ] [
      let distance-from-epicenter sqrt ((xcor - shock-epicenter-x) ^ 2 + (ycor - shock-epicenter-y) ^ 2)
      
      ;; Lo shock colpisce solo gli agenti entro il raggio
      if distance-from-epicenter <= shock-radius [
        ;; La severità dello shock è INVERSAMENTE proporzionale alla distanza
        ;; (più vicino all'epicentro = più danno)
        let attenuation-factor (1 - (distance-from-epicenter / shock-radius))
        let effective-shock shock-severity * attenuation-factor
        
        ;; Combina con la vulnerabilità della zona
        let vuln risk-zone
        let loss-factor effective-shock * vuln
        
        ;; Applica i danni
        set income income * (1 - loss-factor)
        if income < 0 [ set income 0 ]

        set wealth wealth * (1 - loss-factor)
        if wealth < 0 [ set wealth 0 ]

        set deposits deposits * (1 - (loss-factor * 0.5))
        if deposits < 0 [ set deposits 0 ]

        set collateral-value collateral-value * (1 - loss-factor * 1.5)
        if collateral-value < 0 [ set collateral-value 0 ]

        ;; Ricalcola metriche di rischio
        set prob-default calc-prob-default
        set loss-given-default calc-loss-given-default
        set risk-weight calc-risk-weight
      ]
    ]
  ]
end 


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;; DEBITORI
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to update-debtors
  ask turtles [
    if not default? and not in-forbearance? [
      set income income * (1 + growth-rate)

      let installment-rate 0.15
      let installment income * installment-rate

      let consumption-rate 0.6
      let consumption income * consumption-rate

      let savings income - consumption - installment
      if savings < 0 [ set savings 0 ]

      set deposits deposits + savings
      set wealth wealth + savings
      set collateral-value collateral-value + (savings * 0.5)

      let amort installment
      set loan-amount loan-amount - amort
      if loan-amount < 0 [ set loan-amount 0 ]

      set credit-score calc-credit-score
      set prob-default calc-prob-default
      set loss-given-default calc-loss-given-default
      set risk-weight calc-risk-weight

      if prob-default > 30 [
        set default? true
        set income 0
        set in-forbearance? false
      ]
    ]

    if in-forbearance? [
      let installment-rate 0.075
      let installment income * installment-rate
      set loan-amount loan-amount - installment
      if loan-amount < 0 [ set loan-amount 0 ]

      set prob-default calc-prob-default
      if prob-default < 20 [ set in-forbearance? false ]
    ]

    recolor-debtor
  ]
end 

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;; SCORING E METRICHE INDIVIDUALI
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to-report calc-credit-score
  let y-norm   (income   / 80000)
  if y-norm > 1 [ set y-norm 1 ]
  if y-norm < 0 [ set y-norm 0 ]

  let a-norm   (wealth   / 500000)
  if a-norm > 1 [ set a-norm 1 ]
  if a-norm < 0 [ set a-norm 0 ]

  let d-norm   (deposits / 100000)
  if d-norm > 1 [ set d-norm 1 ]
  if d-norm < 0 [ set d-norm 0 ]

  let l-norm   (loan-amount / 500000)
  if l-norm > 1 [ set l-norm 1 ]
  if l-norm < 0 [ set l-norm 0 ]

  let wY 0.25
  let wA 0.25
  let wD 0.25
  let wL -0.25

  let score (100 * ( wY * y-norm +
                     wA * a-norm +
                     wD * d-norm +
                     wL * (1 - l-norm) ))

  if score < 0 [ set score 0 ]
  if score > 100 [ set score 100 ]
  report score
end 

to-report calc-prob-default
  let base-prob-default 40.0
  let score-factor credit-score / 100
  let prob-default-result base-prob-default * (1 - score-factor * 0.975)
  
  let collateral-ratio 0
  if loan-amount > 0 [ set collateral-ratio collateral-value / loan-amount ]
  if collateral-ratio < 0.5 [ set prob-default-result prob-default-result * 1.5 ]
  
  if prob-default-result < 0.1 [ set prob-default-result 0.1 ]
  if prob-default-result > 50 [ set prob-default-result 50 ]
  report prob-default-result
end 

to-report calc-loss-given-default
  let lgd-result 0
  if loan-amount > 0 [
    let coverage-ratio collateral-value / loan-amount
    set lgd-result 60 * (1 - coverage-ratio)
    if coverage-ratio > 1 [ set lgd-result 10 ]
  ]
  
  if lgd-result < 10 [ set lgd-result 10 ]
  if lgd-result > 60 [ set lgd-result 60 ]
  report lgd-result
end 

to-report calc-risk-weight
  let RW 0
  let prob-decimal prob-default / 100
  
  let N-inv 1.627
  let correlation 0.12
  let maturity 2.5
  
  let term1 (prob-decimal + (correlation ^ 0.5) * N-inv)
  let term2 (1 - correlation) ^ 0.5
  let arg (term1 / term2) - N-inv
  let prob-conditional 0
  
  if arg > 3 [ set prob-conditional 0.99 ]
  if arg <= 3 and arg > 0 [ set prob-conditional 0.50 + arg / 8 ]
  if arg <= 0 [ set prob-conditional (arg / 5) + 0.1 ]
  if prob-conditional < 0 [ set prob-conditional 0 ]
  if prob-conditional > 1 [ set prob-conditional 1 ]
  
  let lgd-decimal loss-given-default / 100
  set RW (1.06 * (prob-conditional * lgd-decimal + ((1 - prob-decimal) ^ 0.5) * (0.0470 + 0.999 * maturity)) - 0.0147)
  
  if RW < 0.2 [ set RW 0.2 ]
  if RW > 12.5 [ set RW 12.5 ]
  
  report RW
end 

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;; FORBEARANCE (MORATORIA)
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to apply-forbearance
  ask turtles with [ not default? and credit-score < 35 and not in-forbearance? ] [
    set in-forbearance? true
  ]
end 

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;; BANCA
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to update-bank
  update-bank-metrics
  
  let loss-NPL 0
  ask turtles with [ default? ] [
    if loan-amount > 0 [
      let loss-on-this-loan loan-amount * (loss-given-default / 100)
      set loss-NPL loss-NPL + loss-on-this-loan
    ]
  ]
  
  let interest-margin 0.02
  let interest-income interest-margin * sum [ loan-amount ] of turtles with [ not default? and not in-forbearance? ]
  let interest-forbearance 0.005 * sum [ loan-amount ] of turtles with [ in-forbearance? ]
  let operating-costs-rate 0.01
  let operating-costs operating-costs-rate * total-loans-nominal
  
  let EL 0
  ask turtles [
    if loan-amount > 0 [
      let EL-this (loan-amount * (prob-default / 100) * (loss-given-default / 100))
      set EL EL + EL-this
    ]
  ]
  set total-provisions EL
  
  let profit (interest-income + interest-forbearance - operating-costs - loss-NPL)
  
  set bank-equity-tier1 bank-equity-tier1 + profit
  if bank-equity-tier1 < 0 [ set bank-equity-tier1 0 ]
  
  set bank-total-equity bank-equity-tier1 + bank-debt-tier2
end 

to update-bank-metrics
  set total-loans-nominal sum [ loan-amount ] of turtles
  
  set bank-RWA 0
  ask turtles [
    if loan-amount > 0 [
      set bank-RWA bank-RWA + (loan-amount * (risk-weight / 100))
    ]
  ]
  
  set npl-amount sum [ loan-amount ] of turtles with [ default? ]
  if total-loans-nominal > 0 [
    set npl-ratio npl-amount / total-loans-nominal
  ]
  
  if bank-RWA > 0 [
    set CET1-ratio (bank-equity-tier1 / bank-RWA) * 100
    set total-capital-ratio (bank-total-equity / bank-RWA) * 100
  ]
  
  if total-loans-nominal > 0 [
    set leverage-ratio (bank-equity-tier1 / total-loans-nominal) * 100
  ]
end 

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;; AGGREGATI
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to update-aggregates
  if count turtles > 0 [
    set avg-credit-score mean [ credit-score ] of turtles
    set avg-income mean [ income ] of turtles
    set avg-prob-default mean [ prob-default ] of turtles
    set avg-collateral-value mean [ collateral-value ] of turtles
  ]
end 

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;; COLORI
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to recolor-debtor
  if default? [
    set color red
  ]
  if in-forbearance? [
    set color yellow
  ]
  if not default? and not in-forbearance? [
    if credit-score >= 67 [ set color green ]
    if credit-score < 67 and credit-score >= 33 [ set color orange ]
    if credit-score < 33 [ set color gray ]
  ]
end 

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;; PLOT
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to update-my-plots
  set-current-plot "Credit Score"
  set-current-plot-pen "Households"
  plot mean [ credit-score ] of turtles with [ debtor-type = "household" ]
  set-current-plot-pen "Firms"
  plot mean [ credit-score ] of turtles with [ debtor-type = "firm" ]

  set-current-plot "Prob Default Average"
  set-current-plot-pen "Prob-Default"
  plot avg-prob-default

  set-current-plot "NPL Ratio"
  set-current-plot-pen "NPL"
  plot npl-ratio * 100

  set-current-plot "CET1 Ratio"
  set-current-plot-pen "CET1"
  plot CET1-ratio
  set-current-plot-pen "CET1_req"
  plot CET1-req

  set-current-plot "Total Capital Ratio"
  set-current-plot-pen "Total Capital"
  plot total-capital-ratio
  set-current-plot-pen "Total_req"
  plot Total-Capital-req

  set-current-plot "Leverage Ratio"
  set-current-plot-pen "Leverage"
  plot leverage-ratio
  set-current-plot-pen "Leverage_req"
  plot Leverage-req

  set-current-plot "Total Loans"
  set-current-plot-pen "Nominal"
  plot total-loans-nominal
  set-current-plot-pen "RWA"
  plot bank-RWA

  set-current-plot "Debtors Status"
  set-current-plot-pen "Active"
  plot count turtles with [ not default? and not in-forbearance? ]
  set-current-plot-pen "Forbearance"
  plot count turtles with [ in-forbearance? ]
  set-current-plot-pen "Default"
  plot count turtles with [ default? ]
end