Network analysis sheds light on systemic risk – BoE paper
Pilot study of derivatives markets makes use of CDS data to map network of interlinkages
Regulators can gain a deeper insight into the nature of systemic risks by making use of network analysis, according to a study published today (July 8) by the Bank of England (BoE).
Robleh Ali and Nick Vause of the BoE and Filip Zikes of the Federal Reserve present their findings in the financial stability paper Systemic risk in derivatives markets. They draw on data on UK credit default swaps from 2009–11 to build up a picture of how different firms are exposed to one another.
The authors find
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