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Credit default swaps drawup networks: too interconnected to be stable?

ABSTRACT: We analyse time series of CDS spreads for a set of major US and European institutions in a period overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of spike-like co-movements among pairs of spreads. After correcting for randomness and finite size effects, we find that, depending on the period of time, 50% of the pairs or more exhibit high probabilities of joint drawups and the majority of spread series are trend-reinforced, i.e. drawups tend to be followed by drawups in the same series. We then carry out a network analysis by taking the probability of joint drawups as a proxy of financial dependencies among institutions. We introduce two novel centrality-like measures that offer insights on how both the systemic impact of each node as well as its vulnerability to other nodes' shocks evolve in time.

SUBMITTER: Kaushik R

PROVIDER: S-EPMC3700991 | biostudies-literature | 2013

REPOSITORIES: biostudies-literature

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Credit default swaps drawup networks: too interconnected to be stable?

Kaushik Rahul R Battiston Stefano S

PloS one 20130703 7

We analyse time series of CDS spreads for a set of major US and European institutions in a period overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of spike-like co-movements among pairs of spreads. After correcting for randomness and finite size effects, we find that, depending on the period of time, 50% of the pairs or more exhibit high probabilities of joint drawups and t ...[more]

PMID: 23843931

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Project description:Macroscopic taste processing connectivity was investigated using functional magnetic resonance imaging during the presentation of sour, salty, and sweet tastants in anesthetized macaque monkeys. This examination of taste processing affords the opportunity to study the interactions between sensory regions, central integrators, and effector areas. Here, 58 brain regions associated with gustatory processing in primates were aggregated, collectively forming the gustatory connectome. Regional regression coefficients (or β-series) obtained during taste stimulation were correlated to infer functional connectivity. This connectivity was then evaluated by assessing its laterality, modularity and centrality. Our results indicate significant correlations between same region pairs across hemispheres in a bilaterally interconnected scheme for taste processing throughout the gustatory connectome. Using unbiased community detection, three bilateral sub-networks were detected within the graph of the connectome. This analysis revealed clustering of 16 medial cortical structures, 24 lateral structures, and 18 subcortical structures. Across the three sub-networks, a similar pattern was observed in the differential processing of taste qualities. In all cases, the amplitude of the response was greatest for sweet, but the network connectivity was strongest for sour and salty tastants. The importance of each region in taste processing was computed using node centrality measures within the connectome graph, showing centrality to be correlated across hemispheres and, to a smaller extent, region volume. Connectome hubs exhibited varying degrees of centrality with a prominent leftward increase in insular cortex centrality. Taken together, these criteria illustrate quantifiable characteristics of the macaque monkey gustatory connectome and its organization as a tri-modular network, which may reflect the general medial-lateral-subcortical organization of salience and interoception processing networks.

Dataset Information

Credit default swaps drawup networks: too interconnected to be stable?

Publications

Credit default swaps drawup networks: too interconnected to be stable?

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