• Corpus ID: 125214442

A latent variable model to measure exposure diversification in the Austrian interbank market

  title={A latent variable model to measure exposure diversification in the Austrian interbank market},
  author={Juraj Hledik and Riccardo Rastelli},
  journal={arXiv: Applications},
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitment towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable… 



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