英文标题：
《The multiplex structure of interbank networks》
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作者：
Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo,
Federico Pierobon
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最新提交年份：
2013
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英文摘要：
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d\'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.
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中文摘要：
银行间市场具有天然的多元化网络表现形式。我们使用意大利银行向意大利银行提交的监管报告的独特数据库，其中包括按到期日以及合同的担保和非担保性质细分的所有双边风险敞口。我们发现，随着时间的推移，层具有不同的拓扑特性和持久性。一个层中是否存在链接并不能很好地预测其他层中是否存在相同的链接。最大熵模型揭示了不同层中不同的意外子结构，如网络基序。使用整个银行间网络或将重点放在一个特定的层上作为其他层的代表，会导致银行间市场中相互关联的表现不佳，并可能导致对系统性风险的偏差估计。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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