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:
ESRB Working Paper Series 51
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.