09129oam 22015254 450 991080963350332120200520144314.01-4755-9015-61-4755-3186-9(CKB)2550000001041553(EBL)1607086(SSID)ssj0000943853(PQKBManifestationID)11501253(PQKBTitleCode)TC0000943853(PQKBWorkID)10982345(PQKB)10044789(MiAaPQ)EBC1607086(Au-PeEL)EBL1607086(CaPaEBR)ebr10661244(OCoLC)870245107(IMF)WPIEE2012282(IMF)WPIEA2012282(EXLCZ)99255000000104155320020129d2012 uf 0engurcn|||||||||txtccrSystemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax /Sheri Markose1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (59 p.)IMF Working PapersDescription based upon print version of record.1-61635-307-4 1-4755-7750-8 Includes bibliographical references.Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network AnalysisA. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader TaxV. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; ReferencesFinancial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of  financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.IMF Working Papers; Working Paper ;No. 2012/282Derivative securitiesOver-the-counter marketsBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital and Ownership StructureimfDepository InstitutionsimfDerivative marketsimfDerivative securitiesimfFinanceimfFinance: GeneralimfFinancial contagionimfFinancial CrisesimfFinancial derivativesimfFinancial Forecasting and SimulationimfFinancial Institutions and Services: GeneralimfFinancial institutionsimfFinancial InstrumentsimfFinancial marketsimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial sector policy and analysisimfFinancial services industryimfFinancing PolicyimfGeneral Financial Markets: General (includes Measurement and Data)imfGeneral Financial Markets: Government Policy and RegulationimfGoodwillimfIndustries: Financial ServicesimfInstitutional InvestorsimfInternational Financial MarketsimfInvestments: DerivativesimfMicro Finance InstitutionsimfMortgagesimfNon-bank Financial InstitutionsimfPension FundsimfSystemic riskimfSystemically important financial institutionsimfValue of FirmsimfUnited StatesimfDerivative securities.Over-the-counter markets.BankingBanks and BankingBanks and bankingBanksCapital and Ownership StructureDepository InstitutionsDerivative marketsDerivative securitiesFinanceFinance: GeneralFinancial contagionFinancial CrisesFinancial derivativesFinancial Forecasting and SimulationFinancial Institutions and Services: GeneralFinancial institutionsFinancial InstrumentsFinancial marketsFinancial Risk and Risk ManagementFinancial risk managementFinancial sector policy and analysisFinancial services industryFinancing PolicyGeneral Financial Markets: General (includes Measurement and Data)General Financial Markets: Government Policy and RegulationGoodwillIndustries: Financial ServicesInstitutional InvestorsInternational Financial MarketsInvestments: DerivativesMicro Finance InstitutionsMortgagesNon-bank Financial InstitutionsPension FundsSystemic riskSystemically important financial institutionsValue of Firms332.1532Markose Sheri1771232DcWaIMFBOOK9910809633503321Systemic Risk from Global Financial Derivatives4257831UNINA