> Details

Anand, Kartik [Author]; van Lelyveld, Iman [Author]; Banai, Ádám [Author]; Friedrich, Soeren [Author]; Garratt, Rodney [Author]; Hałaj, Grzegorz [Author]; Fique, Jose [Author]; Hansen, Ib [Author]; Martínez Jaramillo, Serafín [Author]; Lee, Hwayun [Author]; Molina-Borboa, José Luis [Author]; Nobili, Stefano [Author]; Rajan, Sriram [Author]; Salakhova, Dilyara [Author]; Silva, Thiago Christiano [Author]; Silvestri, Laura [Author]; Stancato de Souza, Sergio Rubens [Author]

The missing links: A global study on uncovering financial network structures from partial data

Reference
management

Bookmarks

Remove from
bookmarks

Share this on Whatsapp

Close

Bookmarks



You can manage bookmarks using lists, please log in to your user account for this.
  • Media type: Report; E-Book
  • Title: The missing links: A global study on uncovering financial network structures from partial data
  • Contributor: Anand, Kartik [Author]; van Lelyveld, Iman [Author]; Banai, Ádám [Author]; Friedrich, Soeren [Author]; Garratt, Rodney [Author]; Hałaj, Grzegorz [Author]; Fique, Jose [Author]; Hansen, Ib [Author]; Martínez Jaramillo, Serafín [Author]; Lee, Hwayun [Author]; Molina-Borboa, José Luis [Author]; Nobili, Stefano [Author]; Rajan, Sriram [Author]; Salakhova, Dilyara [Author]; Silva, Thiago Christiano [Author]; Silvestri, Laura [Author]; Stancato de Souza, Sergio Rubens [Author]
  • imprint: Frankfurt a. M.: European Systemic Risk Board (ESRB), European System of Financial Supervision, 2017
  • Language: English
  • DOI: https://doi.org/10.2849/670975
  • ISBN: 978-92-95081-93-2
  • Keywords: D85 ; intermediation ; Network reconstruction ; C63 ; market structure ; L14 ; G20
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed from partial data. In this paper, we conduct a horse race of network reconstruction methods using network data obtained from 25 different markets spanning 13 jurisdictions. Our contribution is two-fold: first, we collate and analyze data on a wide range of financial networks. And second, we rank the methods in terms of their ability to reconstruct the structures of links and exposures in networks.
  • Access State: Open Access