A Network Model Approach to Systemic Risk in the Financial System
نویسندگان
چکیده
We present a network model approach to studying systemic risk for the Credit Default Swap (CDS) market. The network model of the CDS market shows how certain parameters of a network can affect the expected loss of the system relative to the initial loss caused by a default. This model also demonstrates how a clearinghouse stymies loss propagation and highlights the usefulness of important data such as counterparty exposures that are not publicly available.
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تاریخ انتشار 2013