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The missing links: A global study on uncovering financial network structures from partial data

Author

Listed:
  • 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
  • Rubens Stancato de Souza, Sergio

Abstract

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. JEL Classification: G20, L14, D85, C63

Suggested Citation

  • 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 Lu, 2017. "The missing links: A global study on uncovering financial network structures from partial data," ESRB Working Paper Series 51, European Systemic Risk Board.
  • Handle: RePEc:srk:srkwps:201751
    Note: 3597809
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    References listed on IDEAS

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    More about this item

    Keywords

    intermediation; market structure; network reconstruction;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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