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Document type:
Zeitschriftenaufsatz 
Author(s):
Engel, Janina; Pagano, Andrea; Scherer, Matthias 
Title:
A block-structured model for banking networks across multiple countries 
Abstract:
A block-structured model for the reconstruction of directed and weighted financial networks, spanning multiple countries, is developed. In a first step, link-probability matrices are derived via a fitness model that is calibrated to reproduce a desired density and reciprocity for each block (i.e. country and cross-border sub-matrix). The resulting probability matrix allows for fast simulation through bivariate Bernoulli trials. In a second step, weights are allocated to a sampled adjacen...    »
 
Journal title:
Working Paper 
Year:
2019 
TUM Institution:
Lehrstuhl für Finanzmathematik