Reconstructing the topology of financial networks from degree distributions and reciprocity

DOI10.1016/J.JMVA.2019.01.008MaRDI QIDQ2001101zbMATH OpenOpenAlexFDO

Authors Janina Engel, Andrea Pagano, Matthias Scherer

Publication date 2 July 2019

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2019.01.008

zbMATH Keywords

maximum entropyexponential random graph modelfinancial network reconstruction

Mathematics Subject Classification ID

Small world graphs, complex networks (graph-theoretic aspects) (05C82) Stochastic network models in operations research (90B15) Actuarial science and mathematical finance (91G99)

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Cites work

• An Exponential Family of Probability Distributions for Directed Graphs
• Analytical maximum-likelihood method to detect patterns in real networks
• Assessing interbank contagion using simulated networks
• Economic networks: the new challenges
• Elements of Information Theory
• Filling in the blanks: network structure and interbank contagion
• Measures of systemic risk
• Networks. An introduction.
• Systemic risk in financial systems
• The multiplex structure of interbank networks

Cited in

(7)

• Network and eigenvalue analysis of financial transaction networks
• Editorial for the special issue on dependence models
• Network reconstruction with UK CDS trade repository data
• Reconstruction methods for networks: the case of economic and financial systems
• Bootstrapping topological properties and systemic risk of complex networks using the fitness model
• Disentangling bipartite and core-periphery structure in financial networks
• Adjustable network reconstruction with applications to CDS exposures

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