横跨多个国家的银行网络的块结构模型

Janina Engel, A. Pagano, M. Scherer
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引用次数: 0

摘要

开发了一个块结构模型,用于重建跨越多个国家的定向和加权金融网络。在第一步中,链接概率矩阵是通过一个适应度模型推导出来的,该模型经过校准,以重现每个块(即国家和跨境子矩阵)所需的密度和互惠。所得的概率矩阵允许通过二元伯努利试验进行快速模拟。在第二步中,通过指数随机图模型(ERGM)将权重分配给采样的邻接矩阵,该模型实现了行、列和块的权重。该模型在分析上易于处理,仅根据稀缺的公开数据进行校准,并密切重建了金融市场已知的网络特征。此外,还提出了一种ERGM的参数估计算法。此外,将我们的模型校准到欧盟银行间市场,我们能够通过应用各种传染模型来评估欧洲银行网络内的系统性风险。
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A block-structured model for banking networks across multiple countries
A block-structured model for the reconstruction of directed and weighted financial networks, spanning multiple countries, is developed. In a first step, link-probability matrices are derived via a fitness model that is calibrated to reproduce a desired density and reciprocity for each block (i.e. country and cross-border sub-matrix). The resulting probability matrix allows for fast simulation through bivariate Bernoulli trials. In a second step, weights are allocated to a sampled adjacency matrix via an exponential random graph model (ERGM), which fulfills the row, column, and block weights. This model is analytically tractable, calibrated only on scarce publicly available data, and closely reconstructs known network characteristics of financial markets. In addition, an algorithm for the parameter estimation of the ERGM is presented. Furthermore, calibrating our model to the EU interbank market, we are able to assess the systemic risk within the European banking network by applying various contagion models.
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