Complex interbank network estimation

sparsity-clustering threshold

Nils Bundi, Khaldoun Khashanah

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In the “too-interconnected-to-fail” discussion network theory has emerged as an important tool to identify risk concentrations in interbank networks. Therefore, however, data on bilateral bank exposures, i.e. the edges in such a network, is not available but has to be estimated. In this work we report on the possibility of enhancing existing inference techniques with prior knowledge on network topology in order to preserve complex interbank network characteristics. A convenient feature of our technique is that a single parameter α governs the characteristics of the resulting network. In an empirical study we reconstruct the network of about 2100 US commercial banks and show that complex network characteristics can indeed be preserved and, moreover, controlled by α. In an outlook we discuss the possibility of developing an α -based measurement for the complexity characteristics of observed interbank networks.

Original languageEnglish (US)
Title of host publicationComplex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018
EditorsLuca Maria Aiello, Hocine Cherifi, Pietro Lió, Luis M. Rocha, Chantal Cherifi, Renaud Lambiotte
PublisherSpringer Verlag
Pages487-498
Number of pages12
ISBN (Print)9783030054137
DOIs
StatePublished - Jan 1 2019
Event7th International Conference on Complex Networks and their Applications, COMPLEX NETWORKS 2018 - Cambridge, United Kingdom
Duration: Dec 11 2018Dec 13 2018

Publication series

NameStudies in Computational Intelligence
Volume813

Other

Other7th International Conference on Complex Networks and their Applications, COMPLEX NETWORKS 2018
CountryUnited Kingdom
CityCambridge
Period12/11/1812/13/18

Fingerprint

Complex networks
Circuit theory
Topology

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence

Cite this

Bundi, N., & Khashanah, K. (2019). Complex interbank network estimation: sparsity-clustering threshold. In L. M. Aiello, H. Cherifi, P. Lió, L. M. Rocha, C. Cherifi, & R. Lambiotte (Eds.), Complex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018 (pp. 487-498). (Studies in Computational Intelligence; Vol. 813). Springer Verlag. https://doi.org/10.1007/978-3-030-05414-4_39
Bundi, Nils ; Khashanah, Khaldoun. / Complex interbank network estimation : sparsity-clustering threshold. Complex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018. editor / Luca Maria Aiello ; Hocine Cherifi ; Pietro Lió ; Luis M. Rocha ; Chantal Cherifi ; Renaud Lambiotte. Springer Verlag, 2019. pp. 487-498 (Studies in Computational Intelligence).
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Bundi, N & Khashanah, K 2019, Complex interbank network estimation: sparsity-clustering threshold. in LM Aiello, H Cherifi, P Lió, LM Rocha, C Cherifi & R Lambiotte (eds), Complex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018. Studies in Computational Intelligence, vol. 813, Springer Verlag, pp. 487-498, 7th International Conference on Complex Networks and their Applications, COMPLEX NETWORKS 2018, Cambridge, United Kingdom, 12/11/18. https://doi.org/10.1007/978-3-030-05414-4_39

Complex interbank network estimation : sparsity-clustering threshold. / Bundi, Nils; Khashanah, Khaldoun.

Complex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018. ed. / Luca Maria Aiello; Hocine Cherifi; Pietro Lió; Luis M. Rocha; Chantal Cherifi; Renaud Lambiotte. Springer Verlag, 2019. p. 487-498 (Studies in Computational Intelligence; Vol. 813).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Bundi N, Khashanah K. Complex interbank network estimation: sparsity-clustering threshold. In Aiello LM, Cherifi H, Lió P, Rocha LM, Cherifi C, Lambiotte R, editors, Complex Networks and Their Applications VII - Volume 2 Proceedings The 7th International Conference on Complex Networks and Their Applications COMPLEX NETWORKS 2018. Springer Verlag. 2019. p. 487-498. (Studies in Computational Intelligence). https://doi.org/10.1007/978-3-030-05414-4_39