Network Analysis of European Financial Institutions CDS Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075835" target="_blank" >RIV/00216224:14560/14:00075835 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Network Analysis of European Financial Institutions CDS Market
Original language description
The aim of the study is to examine network structures of credit default swaps (CDS) market, with focus on the most liquid CDS issued by the biggest European financial institutions. Correlation-based procedure is employed in order to identify links between CDS spreads. Correlation based networks allow us to comprehend and forecast the dynamics in the CDS market with reduction of complexity of dependencies. Network modeling of CDS spreads can be useful and powerful tool, which can provide much insight andunderstanding on mutual dependence of CDS spreads behavior. The results show that CDS spreads are homogeneous with respect to their economic sector, rather than country?s origin. The increasing correlations between spreads in the second phase of the financial crisis can provide an evidence that there could have been created more suitable conditions for dispersion of systemic risk.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 14th International Conference on Finance and Banking
ISBN
9788072489398
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
159-166
Publisher name
Silesian University
Place of publication
Karviná
Event location
Ostrava
Event date
Jan 1, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000345575000019

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