Systemic Risk from Financial Derivatives: Network Analysis

 

This work involves US centric FDIC data on financial derivatives trading only activities for 2009 Q4. There is a data gap on non-US participants in derivatives markets to obtain data of the same quality as that in the FDIC Call Reports. As there is no single source for large non- US banks and other financial participants in the derivatives markets, the next step of the project will include the data collected individually from the Annual Financial Reports of non US participants. The US centric network of financial obligations is built on the basis of a preferential attachment model driven by the empirical market share of gross notional of derivatives. The bilateral flows are determined by the OCC GPFV and GNFV data and constrained to satisfy the fim level empirical data on bilaterally netted amounts leading to derivatives liabilities and assets.

 

The results to date can be found in the following slides.

 

Presentation slides