Nije dostupno na hrvatskom jeziku.
Serafín Martínez Jaramillo
- 14 July 2017
- WORKING PAPER SERIES - No. 51Details
- 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 Code
- G20 : Financial Economics→Financial Institutions and Services→General
L14 : Industrial Organization→Market Structure, Firm Strategy, and Market Performance→Transactional Relationships, Contracts and Reputation, Networks
D85 : Microeconomics→Information, Knowledge, and Uncertainty→Network Formation and Analysis: Theory
C63 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Computational Techniques, Simulation Modeling