Network analysis
Twin member default would hit up to 23 CCPs
New FSB analysis reveals interdependencies of clearing system
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Simulated banking system shows pros and cons of Basel III
Stability improves, but higher capital requirements also cut lending in new research
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Interoperability between central counterparties
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
A multiplex network analysis of the Mexican banking system: link persistence, overlap and waiting times
The paper provides very rich insight into the complex multiplex nature of the Mexican financial system and will help researchers understand and model how these networks interact in other countries where data at such a detailed level is not available.