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Systemic Risk from Global Financial Derivatives.

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Markose, Sheri M.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2012.
Colección:IMF Working Papers.
Temas:
Acceso en línea:Texto completo

MARC

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505 0 |a Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis 
505 8 |a A. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax 
505 8 |a V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 
520 |a Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the. 
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