Methods for Reconstructing Interbank Networks from Limited Information: A Comparison
In this chapter, we review and compare some methods for the reconstruction of an interbank network from limited information. By exploiting the theory of complex networks and some ideas from statistical physics, we mainly focus on three different methods based on the maximum entropy principle, the relative entropy minimization, and the fitness model. We apply our analysis to the credit network of electronic Market for Interbank Deposit (e-MID) in 2011. In comparing the goodness of fit of the proposed methods, we look at the topological network properties and how reliably each method reproduces the real-world network.
KeywordsEuro Area Systemic Risk Network Reconstruction Interbank Market Relative Entropy Minimization
This work is supported by the European Community H2020 Program under the scheme INFRAIA-1- 2014–2015: Research Infrastructures, grant agreement no. 654024 SoBigData: Social Mining & Big Data Ecosystem (http://www.sobigdata.eu).
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