英文标题：
《Interbank markets and multiplex networks: centrality measures and
statistical null models》
---
作者：
Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo
and Federico Pierobon
---
最新提交年份：
2015
---
英文摘要：
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the recent theoretical and empirical literature, for assessing systemic risk and identifying systematically important financial institutions. Different types of links, for example in terms of maturity and collateralization of the claim/obligation, can be established between financial institutions. Therefore a natural representation of the interbank structure which takes into account more features of the market, is a multiplex, where each layer is associated with a type of link. In this paper we review the empirical structure of the multiplex and the theoretical consequences of this representation. We also investigate the betweenness and eigenvector centrality of a bank in the network, comparing its centrality properties across different layers and with Maximum Entropy null models.
---
中文摘要：
银行间市场被认为是最重要的传染渠道之一。它的网络表示（银行和债权/债务分别由节点和链接表示）在最近的理论和实证文献中受到了大量关注，用于评估系统性风险和识别系统性重要金融机构。金融机构之间可以建立不同类型的联系，例如债权/债务的到期日和抵押。因此，考虑到市场更多特征的银行间结构的自然表现形式是一种多元化，其中每一层都与一种链接类型相关联。在本文中，我们回顾了多元化的经验结构和这种表述的理论后果。我们还研究了银行在网络中的介数和特征向量中心性，比较了银行在不同层次上的中心性，并与最大熵零模型进行了比较。
---
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
--

---
PDF下载：
-->