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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Engel, Janina; Pagano, Andrea; Scherer, Matthias 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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 adjacency m...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Network Theory in Finance 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2021 
Hinweise:
Accepted by the Journal of Network Theory in Finance 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
commissioned:
not commissioned 
Technology:
Nein 
Interdisziplinarität:
Nein 
Leitbild:
Ethics & Sustainability:
Nein