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Title:

A block-structured model for banking networks across multiple countries

Document type:
Zeitschriftenaufsatz
Author(s):
Engel J., Pagano A. and Scherer M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal title:
Journal of Network Theory in Finance
Journal listet in FT50 ranking:
nein
Year:
2021
Fulltext / DOI:
doi:10.21314/JNTF.2021.003
Notes:
Accepted by the Journal of Network Theory in Finance
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
SDG:
;
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