Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Rahul Kaushik & Stefano Battiston, 2012. "Credit Default Swaps Drawup Networks: Too Tied To Be Stable?," Papers 1205.0976, arXiv.org.
References listed on IDEAS
- Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012.
"Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1121-1141.
- Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Joseph E. Stiglitz, 2009. "Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk," NBER Working Papers 15611, National Bureau of Economic Research, Inc.
- Rahul Kaushik & Stefano Battiston, "undated".
"Credit Default Swaps Drawup Networks: Too Tied To Be Stable?,"
Working Papers
ETH-RC-12-013, ETH Zurich, Chair of Systems Design.
- Rahul Kaushik & Stefano Battiston, 2012. "Credit Default Swaps Drawup Networks: Too Tied To Be Stable?," Papers 1205.0976, arXiv.org.
- Sornette, Didier & Zhou, Wei-Xing, 2006.
"Predictability of large future changes in major financial indices,"
International Journal of Forecasting, Elsevier, vol. 22(1), pages 153-168.
- D. Sornette & W. -X. Zhou, 2003. "Predictability of large future changes in major financial indices," Papers cond-mat/0304601, arXiv.org, revised Aug 2004.
- A. Garas & P. Argyrakis & S. Havlin, 2008. "The structural role of weak and strong links in a financial market network," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 63(2), pages 265-271, May.
- Aaron Clauset & Cristopher Moore & M. E. J. Newman, 2008. "Hierarchical structure and the prediction of missing links in networks," Nature, Nature, vol. 453(7191), pages 98-101, May.
- Antonios Garas & Panos Argyrakis & Shlomo Havlin, 2008. "The structural role of weak and strong links in a financial market network," Papers 0805.2477, arXiv.org.
- Caldarelli, Guido, 2007. "Scale-Free Networks: Complex Webs in Nature and Technology," OUP Catalogue, Oxford University Press, number 9780199211517.
- Battiston, Stefano & Gatti, Domenico Delli & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012.
"Default cascades: When does risk diversification increase stability?,"
Journal of Financial Stability, Elsevier, vol. 8(3), pages 138-149.
- Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Joseph E. Stiglitz, "undated". "Default Cascades: When Does Risk Diversification Increase Stability?," Working Papers ETH-RC-11-006, ETH Zurich, Chair of Systems Design.
- L. Kullmann & J. Kertesz & K. Kaski, 2002. "Time dependent cross correlations between different stock returns: A directed network of influence," Papers cond-mat/0203256, arXiv.org, revised May 2002.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
- Andreas Joseph & Stephan Joseph & Guanrong Chen, 2013. "Cross-border Portfolio Investment Networks and Indicators for Financial Crises," Papers 1306.0215, arXiv.org, revised Jan 2014.
- Rahul Kaushik & Stefano Battiston, "undated".
"Credit Default Swaps Drawup Networks: Too Tied To Be Stable?,"
Working Papers
ETH-RC-12-013, ETH Zurich, Chair of Systems Design.
- Rahul Kaushik & Stefano Battiston, 2012. "Credit Default Swaps Drawup Networks: Too Tied To Be Stable?," Papers 1205.0976, arXiv.org.
- Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
- Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
- Berardi, Simone & Tedeschi, Gabriele, 2017.
"From banks' strategies to financial (in)stability,"
International Review of Economics & Finance, Elsevier, vol. 47(C), pages 255-272.
- Simone Berardi & Gabriele Tedeschi, 2015. "From banks’ strategies to financial (in)stability," Working Papers 2015/11, Economics Department, Universitat Jaume I, Castellón (Spain).
- Berardi, Simone & Tedeschi, Gabriele, 2015. "From banks' strategies to financial (in)stability," FinMaP-Working Papers 47, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Gabriele Tedeschi & Amin Mazloumian & Mauro Gallegati & Dirk Helbing, 2012. "Bankruptcy Cascades in Interbank Markets," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-10, December.
- Stefania Vitali & Stefano Battiston, 2014.
"The Community Structure of the Global Corporate Network,"
PLOS ONE, Public Library of Science, vol. 9(8), pages 1-13, August.
- Stefania Vitali & Stefano Battiston, 2013. "The Community Structure of the Global Corporate Network," Papers 1301.2363, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rahul Kaushik & Stefano Battiston, 2013. "Credit Default Swaps Drawup Networks: Too Interconnected to Be Stable?," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-8, July.
- Kyu-Min Lee & Jae-Suk Yang & Gunn Kim & Jaesung Lee & Kwang-Il Goh & In-mook Kim, 2011. "Impact of the Topology of Global Macroeconomic Network on the Spreading of Economic Crises," PLOS ONE, Public Library of Science, vol. 6(3), pages 1-11, March.
- Kyu-Min Lee & Kwang-Il Goh, 2016. "Strength of weak layers in cascading failures on multiplex networks: case of the international trade network," Papers 1603.05181, arXiv.org, revised May 2016.
- Berardi, Simone & Tedeschi, Gabriele, 2017.
"From banks' strategies to financial (in)stability,"
International Review of Economics & Finance, Elsevier, vol. 47(C), pages 255-272.
- Simone Berardi & Gabriele Tedeschi, 2015. "From banks’ strategies to financial (in)stability," Working Papers 2015/11, Economics Department, Universitat Jaume I, Castellón (Spain).
- Berardi, Simone & Tedeschi, Gabriele, 2015. "From banks' strategies to financial (in)stability," FinMaP-Working Papers 47, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Brancaccio, Emiliano & Giammetti, Raffaele & Lopreite, Milena & Puliga, Michelangelo, 2019.
"Monetary policy, crisis and capital centralization in corporate ownership and control networks: A B-Var analysis,"
Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 55-66.
- Emiliano Brancaccio & Raffaele Giammetti & Milena Lopreite & Michelangelo Puliga, 2019. "Monetary Policy, Crisis and Capital Centralization in Corporate Ownership and Control Networks: a B-Var Analysis," LEM Papers Series 2019/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Das, Sai Saranga & Raman, Karthik, 2022. "Effect of dormant spare capacity on the attack tolerance of complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
- Carlos León & Ron J. Berndsen, 2013.
"Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view,"
Borradores de Economia
11104, Banco de la Republica.
- carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," Borradores de Economia 799, Banco de la Republica de Colombia.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Giulio Bottazzi & Alessandro De Sanctis & Fabio Vanni, 2016. "Non-performing loans, systemic risk and resilience in financial networks," LEM Papers Series 2016/08, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2021.
"Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," INET Oxford Working Papers 2018-11, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Anton Pichler & Sebastian Poledna & Stefan Thurner, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," Papers 1801.10515, arXiv.org, revised Mar 2018.
- Capponi, Agostino & Corell, Felix & Stiglitz, Joseph E., 2022.
"Optimal bailouts and the doom loop with a financial network,"
Journal of Monetary Economics, Elsevier, vol. 128(C), pages 35-50.
- Agostino Capponi & Felix C. Corell & Joseph E. Stiglitz, 2020. "Optimal Bailouts and the Doom Loop with a Financial Network," NBER Working Papers 27074, National Bureau of Economic Research, Inc.
- Fischer, Thomas & Riedler, Jesper, 2014.
"Prices, debt and market structure in an agent-based model of the financial market,"
Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
- Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz Centre for European Economic Research.
- Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77240, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Fischer, Thomas & Riedler, Jesper, 2013. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Fischer, Thomas & Riedler, Jesper, 2014. "Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market," FinMaP-Working Papers 21, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Fischer, Thomas & Riedler, Jesper, 2012. "Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58512, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli, 2016. "Distress Propagation in Complex Networks: The Case of Non-Linear DebtRank," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-12, October.
- Ohsung Kwon & Sung-guan Yun & Seung Hun Han & Yang Hon Chung & Duk Hee Lee, 2018. "Network Topology and Systemically Important Firms in the Interfirm Credit Network," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 847-864, April.
- Accominotti, Olivier & Lucena-Piquero, Delio & Ugolini, Stefano, 2023.
"Intermediaries’ substitutability and financial network resilience: A hyperstructure approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
- Olivier Accominotti & Delio Lucena-Piquero & Stefano Ugolini, 2023. "Intermediaries’ Substitutability and Financial Network Resilience: A Hyperstructure Approach," Post-Print hal-04160805, HAL.
- Hitoshi Hayakawa, 2020. "Liquidity in Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 253-301, January.
- Paolo Tasca & Stefano Battiston, "undated".
"Diversification and Financial Stability,"
Working Papers
CCSS-11-001, ETH Zurich, Chair of Systems Design.
- Tasca, Paolo & Battiston, Stefano, 2014. "Diversification and financial stability," LSE Research Online Documents on Economics 59297, London School of Economics and Political Science, LSE Library.
- Ouyang, F.Y. & Zheng, B. & Jiang, X.F., 2014. "Spatial and temporal structures of four financial markets in Greater China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 236-244.
- P. Tasca & S. Battiston, 2016.
"Market procyclicality and systemic risk,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1219-1235, August.
- Paolo Tasca & Stefano Battiston, "undated". "Market Procyclicality and Systemic Risk," Working Papers ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
- Tasca, Paolo & Battiston, Stefano, 2013. "Market Procyclicality and Systemic Risk," MPRA Paper 45156, University Library of Munich, Germany, revised Mar 2013.
More about this item
Keywords
Credit Default Swaps; epsilon drawups; interdependence; trend-reinforcement; network analysis; bow-tie structure; time series analysis;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:stz:wpaper:eth-rc-12-013. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Claudio J. Tessone (email available below). General contact details of provider: https://edirc.repec.org/data/dmethch.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.