Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/193591
Autoren: 
Ramadiah, Amanah
Caccioli, Fabio
Fricke, Daniel
Datum: 
2018
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 84
Zusammenfassung: 
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on bank-firm credit relationships in Japan and conduct a horse race between different network reconstruction methods in terms of their ability to reproduce the actual credit networks. We then compare the different reconstruction methods in terms of their implied systemic risk levels. In most instances we find that the observed credit network significantly displays the highest systemic risk level. Lastly, we explore different policies to improve the robustness of the system.
Schlagwörter: 
network reconstruction
stress testing
systemic risk
bipartite credit network
aggregation level
JEL: 
G11
G20
G21
G28
G32
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-9472-052-8
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
821.1 kB





Publikationen in EconStor sind urheberrechtlich geschützt.