EconPapers    
Economics at your fingertips  
 

Reconstructing and stress testing credit networks

Amanah Ramadiah, Fabio Caccioli and Daniel Fricke ()

No 84, ESRB Working Paper Series from European Systemic Risk Board

Abstract: Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on bank-firm credit relationships in Japan and conduct a horse race between different network reconstruction methods in terms of their ability to reproduce the actual credit networks. We then compare the different reconstruction methods in terms of their implied systemic risk levels. In most instances we find that the observed credit network significantly displays the highest systemic risk level. Lastly, we explore different policies to improve the robustness of the system. JEL Classification: G11, G20, G21, G28, G32

Keywords: aggregation level; bipartite credit network; network reconstruction; stress testing; systemic risk (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-rmg
Date: 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp84.en.pdf (application/pdf)

Related works:
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:201884

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 2019-03-31
Handle: RePEc:srk:srkwps:201884