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Titel:

A block-structured model for banking networks across multiple countries

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Engel J., Pagano A. and Scherer M.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
Journal of Network Theory in Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2021
Volltext / DOI:
doi:10.21314/JNTF.2021.003
Hinweise:
Accepted by the Journal of Network Theory in Finance
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
SDG:
;
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