BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Systemic risk in derivatives markets: a pilot study using CDS data
  - Vause\, N (Bank of England)
DTSTART:20140923T080000Z
DTEND:20140923T084500Z
UID:TALK54457@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Robleh Ali\, Bank of England\, Nick Vause\, Bank o
 f England and Filip Zikes\, Bank of England\n\nIn this paper\, we draw on 
 network analysis and a sample of OTC derivatives data from a trade reposit
 ory to demonstrate how the systemic importance of market participants in t
 he derivatives markets may be measured. This is with a view to the trade r
 epository data available to regulators becoming more comprehensive. We con
 sider the importance of institutions both to the smooth functioning of OTC
  derivatives markets as well as their scope to spread financial distress\,
  suggesting metrics from network analysis that effectively capture these t
 wo concepts. For some of these metrics\, we find that direct counterparty 
 positions or exposures serve as a good proxy for more comprehensive measur
 es of systemic importance or risk that additionally take into account posi
 tions or exposures beyond those of immediate counterparties. This may be o
 f interest to regulators who may only access counterparty data for firms t
 hat they regulate and may not collect data relating to the counterparties 
 of those counterparties.\n
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR