Robust and sparse banking network estimation

DOI10.1016/J.EJOR.2018.03.041zbMath1403.91394OpenAlexW2795852852MaRDI QIDQ1754723

Sandra Paterlini, Rosella Giacometti, Gabriele Torri

Publication date: 31 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.03.041

zbMATH Keywords

financegraphical modelsfinancial networksCDS spreads

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of graph theory (05C90) Financial applications of other theories (91G80)

Related Items (16)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ On a high-dimensional model representation method based on copulas ⋮ Do banks change their liquidity ratios based on network characteristics? ⋮ A 2-stage elastic net algorithm for estimation of sparse networks with heavy-tailed data ⋮ Estimating time-varying proximity with a state–space model ⋮ The impacts of investor network and herd behavior on market stability: social learning, network structure, and heterogeneity ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ Adjusting covariance matrix for risk management ⋮ Systemic risk assessment through high order clustering coefficient ⋮ Network tail risk estimation in the European banking system ⋮ Robust and sparse banking network estimation ⋮ Filtering for risk assessment of interbank network ⋮ Risk attribution and interconnectedness in the EU via CDS data ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls ⋮ Operational research and artificial intelligence methods in banking ⋮ Financial contagion in banking networks with community structure

Uses Software

• glasso
• PMTK

Cites Work

• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• Spatial dependence in credit risk and its improvement in credit scoring
• Credit default swaps and systemic risk
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• A multivariate Kolmogorov-Smirnov test of goodness of fit
• Robust and sparse banking network estimation
• The impact of network inhomogeneities on contagion and system stability
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Contagion! Systemic Risk in Financial Networks
• Statistical mechanics of complex networks
• Empirical properties of asset returns: stylized facts and statistical issues
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• Filling in the blanks: network structure and interbank contagion
• Multivariate T-Distributions and Their Applications
• An empirical goodness-of-fit test for multivariate distributions
• Collective dynamics of ‘small-world’ networks

This page was built for publication: Robust and sparse banking network estimation