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

Citation data:

Journal of Financial Stability, ISSN: 1572-3089

Publication Year:
2017
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DOI:
10.1016/j.jfs.2017.05.012
Author(s):
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
Publisher(s):
Elsevier BV
Tags:
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.

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