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Document type:
Zeitschriftenaufsatz 
Author(s):
Engel, J.; Pagano, A.; Scherer, M. 
Title:
Reconstructing the topology of financial networks from degree distributions and reciprocity 
Abstract:
A flexible probabilistic approach for the constructing of realistic topologies of interbank networks is presented. This constitutes a challenging task, since information on bilateral inter-banking activities is classified confidential and the number of banks in most European countries is substantial. First, we analyze what information on European inter-banking liabilities is publicly available. Second, we present an approach for the reconstruction of network topologies satisfying known character...    »
 
Keywords:
financial network reconstruction; exponential random graph model; maximum entropy 
Journal title:
Journal of Multivariate Analysis 
Year:
2019 
Month:
Jan 
Journal issue:
172 
Pages contribution:
210-222 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
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