Related papers: Reciprocity in Interbank Markets
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
All types of networks arise as intricate combinations of dyadic building blocks formed by pairs of vertices. In directed networks, the dyadic patterns are entirely determined by reciprocity, i.e. the tendency to form, or to avoid, mutual…
In this paper we define a metric for reciprocity---the degree of balance in a social relationship---appropriate for weighted social networks in order to investigate the distribution of this dyadic feature in a large-scale system built from…
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…
Directed links -- representing asymmetric social ties or interactions (e.g., "follower-followee") -- arise naturally in many social networks and other complex networks, giving rise to directed graphs (or digraphs) as basic topological…
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…
We address the problem of link reciprocity, the non-random presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation…
Relationship lending is broadly interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify the strength of a lending relationship, while simple statistics such as the…
A resource exchange network is considered, where exchanges among nodes are based on reciprocity. Peers receive from the network an amount of resources commensurate with their contribution. We assume the network is fully connected, and…
Reciprocity--the tendency of individuals to form mutual ties--is a fundamental structural feature of many directed networks. Despite its ubiquity, reciprocity remains insufficiently integrated into statistical network models, particularly…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…
Reciprocity, or the tendency of individuals to mirror behavior, is a key measure that describes information exchange in a social network. Users in social networks tend to engage in different levels of reciprocal behavior. Differences in…
Asymmetric relational data is increasingly prevalent across diverse fields, underscoring the need for directed network models to address the complex challenges posed by their unique structures. Unlike undirected models, directed models can…
The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…
Human communication, the essence of collective social phenomena ranging from small-scale organizations to worldwide online platforms, features intense reciprocal interactions between members in order to achieve stability, cohesion, and…
This paper provides the first empirical network analysis of the Argentine interbank money market. Its main topological features are examined applying graph theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The…
Prevailing accounts in both multi-agent AI and the social sciences explain social structure through top-down abstractions-such as institutions, norms, or trust-yet lack simulateable models of how such structures emerge from individual…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
We present a probabilistic generative model and efficient algorithm to model reciprocity in directed networks. Unlike other methods that address this problem such as exponential random graphs, it assigns latent variables as community…