Systemic risk from global financial derivatives :: a network analysis of contagion and its mitigation with super-spreader tax /
Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/282. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the "Too- Interconnected-To-Fail" (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the "super-spreaders" have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based "super-spreader" tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Dec. 6, 2012). "Monetary and Capital Markets Department." |
| Beschreibung: | 1 online resource (58 pages). |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 1616353074 9781616353070 1475590156 9781475590159 1475531869 9781475531862 |
Internformat
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| 100 | 1 | |a Markose, Sheri M., |e author. |0 http://id.loc.gov/authorities/names/no96012264 | |
| 245 | 1 | 0 | |a Systemic risk from global financial derivatives : |b a network analysis of contagion and its mitigation with super-spreader tax / |c prepared by Sheri M. Markose. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (58 pages). | ||
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| 380 | |a Bibliography | ||
| 490 | 1 | |a IMF working paper ; |v WP/12/282 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Dec. 6, 2012). | ||
| 520 | |a Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the "Too- Interconnected-To-Fail" (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the "super-spreaders" have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based "super-spreader" tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Monetary and Capital Markets Department." | ||
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 546 | |a English. | ||
| 650 | 0 | |a Derivative securities. |0 http://id.loc.gov/authorities/subjects/sh93005704 | |
| 650 | 0 | |a Over-the-counter markets. |0 http://id.loc.gov/authorities/subjects/sh85096190 | |
| 650 | 6 | |a Instruments dérivés (Finances) | |
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| 650 | 7 | |a Derivative securities |2 fast | |
| 650 | 7 | |a Over-the-counter markets |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no2006113696 | |
| 758 | |i has work: |a Systemic risk from global financial derivatives (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGdDyTDkq4gCmwXqyRw6Kd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn820480590 |
|---|---|
| _version_ | 1816882215903035392 |
| adam_text | |
| any_adam_object | |
| author | Markose, Sheri M. |
| author_GND | http://id.loc.gov/authorities/names/no96012264 |
| author_facet | Markose, Sheri M. |
| author_role | aut |
| author_sort | Markose, Sheri M. |
| author_variant | s m m sm smm |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG3881 |
| callnumber-raw | HG3881.5.I58 W67 No. 12/282eb |
| callnumber-search | HG3881.5.I58 W67 No. 12/282eb |
| callnumber-sort | HG 43881.5 I58 W67 NO 212 3282EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| contents | 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. |
| ctrlnum | (OCoLC)820480590 |
| dewey-full | 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
| dewey-search | 332.64/5 |
| dewey-sort | 3332.64 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn820480590 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:25:05Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no2006113696 |
| isbn | 1616353074 9781616353070 1475590156 9781475590159 1475531869 9781475531862 |
| language | English |
| oclc_num | 820480590 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (58 pages). |
| psigel | ZDB-4-EBA |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Markose, Sheri M., author. http://id.loc.gov/authorities/names/no96012264 Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / prepared by Sheri M. Markose. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (58 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Bibliography IMF working paper ; WP/12/282 Title from PDF title page (IMF Web site, viewed Dec. 6, 2012). Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the "Too- Interconnected-To-Fail" (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the "super-spreaders" have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based "super-spreader" tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs. Includes bibliographical references. "Monetary and Capital Markets Department." 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. English. Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Over-the-counter markets. http://id.loc.gov/authorities/subjects/sh85096190 Instruments dérivés (Finances) BUSINESS & ECONOMICS Finance. bisacsh Derivative securities fast Over-the-counter markets fast International Monetary Fund. Monetary and Capital Markets Department, issuing body. http://id.loc.gov/authorities/names/no2006113696 has work: Systemic risk from global financial derivatives (Text) https://id.oclc.org/worldcat/entity/E39PCGdDyTDkq4gCmwXqyRw6Kd https://id.oclc.org/worldcat/ontology/hasWork 1-61635-307-4 1-4755-7750-8 IMF working paper ; WP/12/282. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=536804 Volltext |
| spellingShingle | Markose, Sheri M. Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / IMF working paper ; 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. Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Over-the-counter markets. http://id.loc.gov/authorities/subjects/sh85096190 Instruments dérivés (Finances) BUSINESS & ECONOMICS Finance. bisacsh Derivative securities fast Over-the-counter markets fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh93005704 http://id.loc.gov/authorities/subjects/sh85096190 |
| title | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / |
| title_auth | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / |
| title_exact_search | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / |
| title_full | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / prepared by Sheri M. Markose. |
| title_fullStr | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / prepared by Sheri M. Markose. |
| title_full_unstemmed | Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax / prepared by Sheri M. Markose. |
| title_short | Systemic risk from global financial derivatives : |
| title_sort | systemic risk from global financial derivatives a network analysis of contagion and its mitigation with super spreader tax |
| title_sub | a network analysis of contagion and its mitigation with super-spreader tax / |
| topic | Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Over-the-counter markets. http://id.loc.gov/authorities/subjects/sh85096190 Instruments dérivés (Finances) BUSINESS & ECONOMICS Finance. bisacsh Derivative securities fast Over-the-counter markets fast |
| topic_facet | Derivative securities. Over-the-counter markets. Instruments dérivés (Finances) BUSINESS & ECONOMICS Finance. Derivative securities Over-the-counter markets |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=536804 |
| work_keys_str_mv | AT markosesherim systemicriskfromglobalfinancialderivativesanetworkanalysisofcontagionanditsmitigationwithsuperspreadertax AT internationalmonetaryfundmonetaryandcapitalmarketsdepartment systemicriskfromglobalfinancialderivativesanetworkanalysisofcontagionanditsmitigationwithsuperspreadertax |