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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Credit default swaps drawup networks: Too interconnected to be stable? |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | PLoS ONE |
| Publisher | Public Library of Science (PLoS) |
| Geographical Reach | international |
| ISSN | 1932-6203 |
| Volume | 8 |
| Number | 7 |
| Page Range | e61815 |
| Date | 2013 |
| Abstract Text | We analyse time series of CDS spreads for a set of major US and European institutions in a period overlapping the recent financial crisis. We extend the existing methodology of -drawdowns to the one of joint -drawups, in order to estimate the conditional probabilities of spike-like co-movements among pairs of spreads. After correcting for randomness and finite size effects, we find that, depending on the period of time, 50% of the pairs or more exhibit high probabilities of joint drawups and the majority of spread series are trend-reinforced, i.e. drawups tend to be followed by drawups in the same series. We then carry out a network analysis by taking the probability of joint drawups as a proxy of financial dependencies among institutions. We introduce two novel centrality-like measures that offer insights on how both the systemic impact of each node as well as its vulnerability to other nodes' shocks evolve in time. |
| Free access at | PubMed ID |
| Digital Object Identifier | 10.1371/journal.pone.0061815 |
| PubMed ID | 23843931 |
| Other Identification Number | merlin-id:10162 |
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