The missing links: A global study on uncovering financial network structures from partial data
Rodney Garratt (),
Grzegorz Halaj (),
Serafín Martínez Jaramillo,
José Luis Molina-Borboa,
Dilyara Salakhova (),
Thiago Silva (),
Laura Silvestri and
Sergio Rubens Stancato de Souza
No 51, ESRB Working Paper Series from European Systemic Risk Board
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)
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Journal Article: The missing links: A global study on uncovering financial network structures from partial data (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:201751
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