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Titel:

Reconstructing the topology of financial networks from degree distributions and reciprocity

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Engel, J.; Pagano, A.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
financial network reconstruction; exponential random graph model; maximum entropy
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Multivariate Analysis
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Monat:
Jan
Heft / Issue:
172
Seitenangaben Beitrag:
210-222
Sprache:
en
Volltext / DOI:
doi:10.1016/j.jmva.2019.01.008
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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