A block-structured model for banking networks across multiple countries

نویسندگان

چکیده

A block-structured model for the reconstruction of directed and weighted financial networks, spanning multiple countries, is developed. In a first step, link-probability matrices are derived via a fitness that calibrated to reproduce desired density reciprocity each block (i.e. country cross-border sub-matrix). The resulting probability matrix allows fast simulation through bivariate Bernoulli trials. second weights allocated sampled adjacency via an exponential random graph (ERGM), which fulfills row, column, weights. This model analytically tractable, only on scarce publicly available data, closely reconstructs known network characteristics markets. addition, an algorithm parameter estimation of ERGM presented. Furthermore, calibrating our EU interbank market, we are able assess systemic risk within European banking by applying various contagion models.

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ژورنال

عنوان ژورنال: The journal of network theory in finance

سال: 2021

ISSN: ['2055-7795', '2055-7809']

DOI: https://doi.org/10.21314/jntf.2021.003