Network reconstruction with UK CDS trade repository data

DOI10.1080/14697688.2017.1357975zbMath1402.91973OpenAlexW2752038923MaRDI QIDQ4555197

Laura Silvestri, William Abel

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1357975

zbMATH Keywords

financial networksnetwork reconstructiontrade reporting rules

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)

Uses Software

• plfit

Cites Work

• Credit default swaps and systemic risk
• A network analysis of the Italian overnight money market
• Bootstrapping topological properties and systemic risk of complex networks using the fitness model
• Assessing interbank contagion using simulated networks
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Emergence of Scaling in Random Networks
• Systemic Risk in Financial Systems
• Contagion in financial networks
• Power-Law Distributions in Empirical Data
• Directed scale-free graphs
• Network topology of the interbank market
• Filling in the blanks: network structure and interbank contagion

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