Credit default swaps and systemic risk
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Publication:513095
DOI10.1007/s10479-015-1857-xzbMath1406.91471OpenAlexW3121900512MaRDI QIDQ513095
Publication date: 3 March 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/27082
financial crisissystemic riskcredit default swapsfinancial stabilityfinancial networksintermediation chainsmulti-layered network
Related Items (15)
How safe are central counterparties in credit default swap markets? ⋮ Inhomogeneous Financial Networks and Contagious Links ⋮ To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting ⋮ Network reconstruction with UK CDS trade repository data ⋮ Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ Fair immunization and network topology of complex financial ecosystems ⋮ Systemic Risk in Networks with a Central Node ⋮ A nonlinear dynamic model for credit risk contagion ⋮ Credit spread approximation and improvement using random forest regression ⋮ Fair prices under a unified lattice approach for interest rate derivatives ⋮ Banks' business strategies on the edge of distress ⋮ Systemic risk assessment through high order clustering coefficient ⋮ Robust and sparse banking network estimation ⋮ Simulating liquidity stress in the derivatives market ⋮ Impact of contingent payments on systemic risk in financial networks
Cites Work
- Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
- Epidemic thresholds on scale-free graphs: The interplay between exponent and preferential choice
- RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
- To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
- Contagion in financial networks
- A simple model of global cascades on random networks
- Network topology of the interbank market
- Central clearing of OTC derivatives: Bilateral vs multilateral netting
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