Arbeitspapier
Reconstructing and stress testing credit networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on bank-firm credit relationships in Japan and conduct a horse race between different network reconstruction methods in terms of their ability to reproduce the actual credit networks. We then compare the different reconstruction methods in terms of their implied systemic risk levels. In most instances we find that the observed credit network significantly displays the highest systemic risk level. Lastly, we explore different policies to improve the robustness of the system.
- ISBN
-
978-92-9472-052-8
- Sprache
-
Englisch
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 84
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Financial Institutions and Services: General
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
network reconstruction
stress testing
systemic risk
bipartite credit network
aggregation level
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ramadiah, Amanah
Caccioli, Fabio
Fricke, Daniel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- DOI
-
doi:10.2849/904050
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ramadiah, Amanah
- Caccioli, Fabio
- Fricke, Daniel
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2018
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