Full metadata record
DC FieldValueLanguage
dc.contributor.authorENGEL JANINAen_GB
dc.contributor.authorPAGANO ANDREAen_GB
dc.contributor.authorSCHERER MATTHIASen_GB
dc.date.accessioned2019-10-09T00:31:21Z-
dc.date.available2019-10-08en_GB
dc.date.available2019-10-09T00:31:21Z-
dc.date.created2018-10-16en_GB
dc.date.issued2019en_GB
dc.date.submitted2018-02-02en_GB
dc.identifier.citationJOURNAL OF MULTIVARIATE ANALYSIS vol. 172 p. 210-221en_GB
dc.identifier.issn0047-259X (online)en_GB
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0047259X18300903en_GB
dc.identifier.urihttp://publications.jrc.ec.europa.eu/repository/handle/JRC110910-
dc.description.abstractA 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. Firstly, 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.en_GB
dc.description.sponsorshipJRC.B.1-Finance and Economyen_GB
dc.format.mediumOnlineen_GB
dc.languageENGen_GB
dc.publisherELSEVIER INCen_GB
dc.relation.ispartofseriesJRC110910en_GB
dc.titleReconstructing the topology of financial networks from degree distributions and reciprocityen_GB
dc.typeArticles in periodicals and booksen_GB
dc.identifier.doi10.1016/j.jmva.2019.01.008 (online)en_GB
JRC Directorate:Growth and Innovation

Files in This Item:
There are no files associated with this item.


Items in repository are protected by copyright, with all rights reserved, unless otherwise indicated.