金融网络
秩(图论)
金融市场
缺少数据
航程(航空)
计算机科学
业务
计量经济学
金融危机
财务
经济
系统性风险
工程类
机器学习
数学
宏观经济学
航空航天工程
组合数学
作者
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,S. R. Souza
标识
DOI:10.1016/j.jfs.2017.05.012
摘要
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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