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.
|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|
|Electronic Document|| |
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|Number of Pages||iii, 26 p.|
|Subject Terms||Financial institutions|
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