EconPapers    
Economics at your fingertips  
 

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

No 51, ESRB Working Paper Series from European Systemic Risk Board

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. JEL Classification: G20, L14, D85, C63

Keywords: intermediation; market structure; network reconstruction (search for similar items in EconPapers)
Date: 2017-07
New Economics Papers: this item is included in nep-ifn and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)
https://www.esrb.europa.eu//pub/pdf/wp/esrbwp51.en.pdf (application/pdf)

Related works:
Journal Article: The missing links: A global study on uncovering financial network structures from partial data (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:201751

Access Statistics for this paper

More papers in ESRB Working Paper Series from European Systemic Risk Board 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2020-06-05
Handle: RePEc:srk:srkwps:201751