Reconstructing the topology of financial networks from degree distributions and reciprocity

DOI10.1016/j.jmva.2019.01.008zbMath1422.91802OpenAlexW2911361161MaRDI QIDQ2001101

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)

Related Items (1)

Editorial for the special issue on dependence models

Cites Work

• Assessing interbank contagion using simulated networks
• Economic Networks: The New Challenges
• Systemic Risk in Financial Systems
• An Exponential Family of Probability Distributions for Directed Graphs
• Measures of Systemic Risk
• Filling in the blanks: network structure and interbank contagion
• The multiplex structure of interbank networks
• Analytical maximum-likelihood method to detect patterns in real networks
• Elements of Information Theory
• Networks

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