Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193558
Authors: 
Anand, Kartik
van Lelyveld, Iman
Banai, Ádám
Friedrich, Soeren
Garratt, Rodney
Hałaj, Grzegorz
Fique, Jose
Hansen, Ib
Martínez Jaramillo, Serafín
Lee, Hwayun
Molina-Borboa, José Luis
Nobili, Stefano
Rajan, Sriram
Salakhova, Dilyara
Silva, Thiago Christiano
Silvestri, Laura
Stancato de Souza, Sergio Rubens
Year of Publication: 
2017
Series/Report no.: 
ESRB Working Paper Series 51
Abstract: 
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.
Subjects: 
Network reconstruction
market structure
intermediation
JEL: 
G20
L14
D85
C63
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-93-2
Document Type: 
Working Paper

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