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Framework estimates bilateral interbank exposures across countries, indicating improved systemic risk analysis accuracy.
Estimating bilateral interbank exposures is essential for assessing systemic risk and contagion in global banking systems. We propose a reconstruction framework that extends the maximum-entropy approach to a multi-country setting by integrating domestic balance-sheet total interbank exposure values with country-level aggregate cross-border exposures. The method distributes each country’s external positions across its resident banks and then reconstructs the domestic interbank matrices under maximum-entropy constraints, yielding a globally consistent exposure matrix. Cross-border aggregates—such as those published by the BIS—enter the framework only as optional external constraints rather than as objects of empirical validation. The resulting dual-layer interbank network improves the internal coherence of multi-country exposure estimates and provides a consistent input for contagion simulations and systemic risk analysis.
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Sbaraglia et al. (2026) studied this question.
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