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@inproceedings{1187222,
author = {Kajurová, Veronika and Deev, Oleg},
address = {Karviná},
booktitle = {Proceedings of the 14th International Conference on Finance and Banking},
editor = {Stavárek Daniel and Vodová Pavla},
keywords = {financial contagion; correlation network; CDS market; network analysis; systemic risk},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Karviná},
isbn = {978-80-7248-939-8},
pages = {159-166},
publisher = {Silesian University},
title = {Network Analysis of European Financial Institutions CDS Market},
year = {2014}
}
TY - JOUR
ID - 1187222
AU - Kajurová, Veronika - Deev, Oleg
PY - 2014
TI - Network Analysis of European Financial Institutions CDS Market
PB - Silesian University
CY - Karviná
SN - 9788072489398
KW - financial contagion
KW - correlation network
KW - CDS market
KW - network analysis
KW - systemic risk
N2 - 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 and understanding 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. Results can be beneficial for both investors and regulators as an indication of channels of financial contagion, particularly, if networks are observed continuously over time.
ER -
KAJUROVÁ, Veronika a Oleg DEEV. Network Analysis of European Financial Institutions CDS Market. In Stavárek Daniel and Vodová Pavla. \textit{Proceedings of the 14th International Conference on Finance and Banking}. Karviná: Silesian University, 2014, s.~159-166. ISBN~978-80-7248-939-8.
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