Oswaldo Cruz Foundation (FIOCRUZ) - Gonçalo Moniz Institute (IGM)
Date Written: July 1, 2017
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.
Anand, Kartik and <!>van Lelyveld, Iman and Banai, Ádám and Friedrich, Soeren and Garratt, Rodney and Hałaj, Grzegorz and Fique, Jose and Hansen, Ib and Jaramillo, Serafín Martínez and Lee, Hwayun and Molina-Borboa, José Luis and Nobili, Stefano and Rajan, Sriram and Salakhova, Dilyara and Silvestri, Laura and Stancato, Sergio Rubens and Cerqueira-Silva, Thiago, The Missing Links: A Global Study on Uncovering Financial Network Structures from Partial Data (July 1, 2017). ESRB: Working Paper Series No. 2017/51, Available at SSRN: https://ssrn.com/abstract=3723398 or http://dx.doi.org/10.2139/ssrn.3723398