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

Kartik Anand, Iman Lelyveld, Adam Banai, Soeren Friedrich, Rodney Garratt (), Grzegorz Halaj (), José Fique, Ib Hansen, Serafín Martínez Jaramillo, Hwayun Lee, José Luis Molina-Borboa, Stefano Nobili, Sriram Rajan, Dilyara Salakhova (), Thiago Silva (), Laura Silvestri and Sergio Rubens Stancato de Souza

Journal of Financial Stability, 2018, vol. 35, issue C, 107-119

Abstract: 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.

Keywords: Network reconstruction; Market structure; Intermediation (search for similar items in EconPapers)
JEL-codes: G20 L14 D85 C63 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:35:y:2018:i:c:p:107-119

DOI: 10.1016/j.jfs.2017.05.012

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