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

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Journal of Financial Stability, ISSN: 1572-3089, Vol: 35, Page: 107-119

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Kartik Anand; Iman van Lelyveld; Ádám Banai; Soeren Friedrich; Rodney Garratt; Grzegorz Hałaj; Jose Fique; Ib Hansen; Serafín Martínez Jaramillo; Hwayun Lee; José Luis Molina-Borboa; Stefano Nobili; Sriram Rajan; Dilyara Salakhova; Thiago Christiano Silva; Laura Silvestri; Sergio Rubens Stancato de Souza Show More Hide
Elsevier BV
Economics, Econometrics and Finance
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article description
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.