User: Guest  Login
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 holistic approach to constructing a realistic probability distribution on the set of interbanking networks is derived. This is a challenging task, since information on bilateral inter-banking activities is classified confidential and the number of banks in most European countries is substantial. Firstly, we analyse what information on European inter-banking liabilities is publicly available. Second, we adapt an exponential random graph model (ERGM) to incorporate precisely this information. Th...    »
 
Keywords:
financial network reconstruction; exponential random graph model; maximum entropy 
Journal title:
Forthcoming in the Journal of Multivariate Analysis 
Year:
2018 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik