Credit default swaps and systemic risk
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Publication:513095
DOI10.1007/S10479-015-1857-XzbMATH Open1406.91471OpenAlexW3121900512MaRDI QIDQ513095FDOQ513095
Authors: Rama Cont, Andreea Minca 
Publication date: 3 March 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/27082
Recommendations
systemic riskcredit default swapsfinancial crisisfinancial stabilityfinancial networksintermediation chainsmulti-layered network
Cites Work
- Network topology of the interbank market
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- Epidemic thresholds on scale-free graphs: The interplay between exponent and preferential choice
- To fully net or not to net: adverse effects of partial multilateral netting
- Central clearing of OTC derivatives: bilateral vs multilateral netting
Cited In (23)
- Compressing over-the-counter markets
- How safe are central counterparties in credit default swap markets?
- Central clearing of OTC derivatives: bilateral vs multilateral netting
- To fully net or not to net: adverse effects of partial multilateral netting
- Credit spread approximation and improvement using random forest regression
- Liquidity tail risk and credit default swap spreads
- Fair prices under a unified lattice approach for interest rate derivatives
- Systemic risk assessment through high order clustering coefficient
- Credit Default Swaps and Bank Regulatory Capital*
- Robust and sparse banking network estimation
- Banks' business strategies on the edge of distress
- A nonlinear dynamic model for credit risk contagion
- Inhomogeneous financial networks and contagious links
- Impact of contingent payments on systemic risk in financial networks
- Simulating liquidity stress in the derivatives market
- Network reconstruction with UK CDS trade repository data
- Hidden illiquidity with multiple central counterparties
- Credit default swaps: implied ratings versus official ones
- Systemic risk models for disjoint and overlapping groups with equilibrium strategies
- Fair immunization and network topology of complex financial ecosystems
- Network analysis and systemic FX settlement risk
- Counterparty credit risk in a clearing network
- Systemic Risk in Networks with a Central Node
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