Isda AGM: New analysis – due next month – looks at clearing network risks
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Loosely connected assets are better protected against market crashes
Model points to risks of core-periphery structure
Bank networks evolve to be liquid but unstable, new research shows
Stability improves, but higher capital requirements also cut lending in new research
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
A multiplex network analysis of the Mexican banking system: link persistence, overlap and waiting times
The paper provides very rich insight into the complex multiplex nature of the Mexican financial system and will help researchers understand and model how these networks interact in other countries where data at such a detailed level is not available.
By: Jorge A Chan-Lau