Graph theoretical approach to bow-tie interbank networks reconstruction

Abstract

Data of interbank transactions which are important for systemic risk estimation and modeling of interbank markets are usually unpublished and available only for restricted number of persons to use. Therefore the problem of interbank networks reconstruction using limited data is of large importance. Nevertheless, algorithms available are often computationally complex and require several rounds of simulation for finding the best configuration. In this research we suggest an algorithm of interbank network properties reconstruction based on building the bow-tie structure and regulation of other topological properties by the change in sizes of bow-tie components. We present theoretical evidence confirming the method validity and the corresponding experimental study. Data used in experimental study contain aggregated balance information about banks activity on the interbank market and empirical description of network topological properties taken for Russian interbank market.