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Title:

Reconstructing the topology of financial networks from degree distributions and reciprocity

Document type:
Zeitschriftenaufsatz
Author(s):
Engel, J.; Pagano, A.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
national
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
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Multivariate Analysis
Journal listet in FT50 ranking:
nein
Year:
2019
Month:
Jan
Journal issue:
172
Pages contribution:
210-222
Language:
en
Fulltext / DOI:
doi:10.1016/j.jmva.2019.01.008
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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