Extent: | Online-Ressource graph. Darst. |
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Series: | IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/282 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFIs and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis A. Adjacency Matrix and Gross Flow Matrix for DerivativesB. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives MarketA. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References Electronic reproduction; Available via World Wide Web |
ISBN: | 978-1-4755-3186-2 ; 978-1-4755-7750-1 ; 978-1-4755-7750-1 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009678940