Retrieving implied financial networks from bank balance-sheet and market data: FB3-5/2017-30E-PDF

"In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. I propose an approach that incorporates this network of exposures, among other factors, in a valuation model of credit default swaps. The model-implied spreads are then used to retrieve the set of networks that are consistent with market spreads. The approach is illustrated with an application to the UK banking system."--Abstract, p. ii.

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Department/Agency Bank of Canada.
Title Retrieving implied financial networks from bank balance-sheet and market data
Series Title Bank of Canada staff working paper,
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

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Note "July 2017."
Date 2017.
Number of Pages iii, 26 p.
Catalogue Number
  • FB3-5/2017-30E-PDF
Subject Terms Financial institutions