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دسته بندی:
بانکداری - Banking
سال انتشار:
2019
عنوان انگلیسی مقاله:
Reconstructing the topology of financial networks from degree distributions and reciprocity
ترجمه فارسی عنوان مقاله:
بازسازی توپولوژی شبکه های مالی از توزیع درجه و روابط متقابل
منبع:
Sciencedirect - Elsevier - Journal of Multivariate Analysis, 172 (2019) 210-222: doi:10:1016/j:jmva:2019:01:008
نویسنده:
Janina Engel a, Andrea Pagano a, Matthias Scherer b,∗
چکیده انگلیسی:
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 characteristics through an exponential random graph
model (ERGM), which incorporates the available information as side conditions. Third, we
conduct a case study calibrating the model to the Italian and the German interbank market.
Samples of both models are then analyzed with respect to different network statistics. The
relevance of the presented results stems from the urgent need of having realistic instances
of possible adjacency matrices as input in technical studies on the stability of inter-banking
networks. Various such studies exist, however, most of them rely on toy models for the
analyzed adjacency matrices.
Keywords : Exponential random graph model | Financial network reconstruction | Maximum entropy
قیمت: رایگان
توضیحات اضافی:
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