Systemic risk in derivatives markets: a pilot study using CDS data
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| Description: |
Vause, N (Bank of England)
Tuesday 23 September 2014, 09:00-09:45 |
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| Created: | 2014-09-26 17:27 |
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| Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
| Publisher: | Isaac Newton Institute |
| Copyright: | Vause, N |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
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| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | Co-authors: Robleh Ali, Bank of England, Nick Vause, Bank of England and Filip Zikes, Bank of England
In this paper, we draw on network analysis and a sample of OTC derivatives data from a trade repository to demonstrate how the systemic importance of market participants in the derivatives markets may be measured. This is with a view to the trade repository data available to regulators becoming more comprehensive. We consider the importance of institutions both to the smooth functioning of OTC derivatives markets as well as their scope to spread financial distress, suggesting metrics from network analysis that effectively capture these two concepts. For some of these metrics, we find that direct counterparty positions or exposures serve as a good proxy for more comprehensive measures of systemic importance or risk that additionally take into account positions or exposures beyond those of immediate counterparties. This may be of interest to regulators who may only access counterparty data for firms that they regulate and may not collect data relating to the counterparties of those counterparties. |
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