英文标题：
《Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks》
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作者：
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch, Koen Schoors
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最新提交年份：
2015
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英文摘要：
  We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over Aug 1998 - Oct 2004. Specifically, we examine the distributions of (un)directed (un)weighted degree, nodal attributes (bank assets, capital and capital-to-assets ratio) and edge weights (loan size and counterparty exposure). We search for the theoretical distribution that fits the data best and report the \"best\" fit parameters. We observe that all studied distributions are heavy tailed. The fat tail typically contains 20% of the data and can be mostly described well by a truncated power law. Also the power law, stretched exponential and log-normal provide reasonably good fits to the tails of the data. In most cases, however, separating the bulk and tail parts of the data is hard, so we proceed to study the full range of the events. We find that the stretched exponential and the log-normal distributions fit the full range of the data best. These conclusions are robust to 1) whether we aggregate the data over a week, month, quarter or year; 2) whether we look at the \"growth\" versus \"maturity\" phases of interbank market development; and 3) with minor exceptions, whether we look at the \"normal\" versus \"crisis\" operation periods. In line with prior research, we find that the network topology changes greatly as the interbank market moves from a \"normal\" to a \"crisis\" operation period.
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中文摘要：
我们使用双边银行间风险敞口的每日数据和月度银行资产负债表来研究1998年8月至2004年10月期间俄罗斯银行间市场的网络特征。具体而言，我们研究了（非）定向（非）加权度、节点属性（银行资产、资本和资本资产比率）和边缘权重（贷款规模和交易对手风险敞口）的分布。我们寻找最符合数据的理论分布，并报告“最佳”拟合参数。我们观察到所有研究的分布都是重尾分布。肥尾通常包含20%的数据，可以用截断幂律很好地描述。此外，幂律、拉伸指数和对数正态分布也能很好地拟合数据的尾部。然而，在大多数情况下，分离数据的大部分和尾部是困难的，因此我们继续研究整个事件范围。我们发现拉伸指数分布和对数正态分布最符合数据的全部范围。这些结论对于1）我们是否在一周、一个月、一个季度或一年的时间内汇总数据都是可靠的；2） 我们是否关注银行间市场发展的“增长”与“成熟”阶段；3）除了小的例外，我们是否考虑了“正常”和“危机”运营期。与之前的研究一致，我们发现，随着银行间市场从“正常”运营期过渡到“危机”运营期，网络拓扑发生了很大变化。
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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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