LEADER 09084oam 22015014 450 001 9910779643403321 005 20230802010318.0 010 $a1-4755-9015-6 010 $a1-4755-3186-9 035 $a(CKB)2550000001041553 035 $a(EBL)1607086 035 $a(SSID)ssj0000943853 035 $a(PQKBManifestationID)11501253 035 $a(PQKBTitleCode)TC0000943853 035 $a(PQKBWorkID)10982345 035 $a(PQKB)10044789 035 $a(MiAaPQ)EBC1607086 035 $a(Au-PeEL)EBL1607086 035 $a(CaPaEBR)ebr10661244 035 $a(OCoLC)870245107 035 $a(IMF)WPIEE2012282 035 $a(IMF)WPIEA2012282 035 $a(EXLCZ)992550000001041553 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSystemic Risk from Global Financial Derivatives : $eA Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax /$fSheri Markose 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (59 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-61635-307-4 311 $a1-4755-7750-8 320 $aIncludes bibliographical references. 327 $aCover; 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 Analysis 327 $aA. 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 Tax 327 $aV. 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 Statistics 327 $a5. 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 (?(sup[#])(sub[max]) ,Y-Axis) Using Different Values of ?> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha ?>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References 330 3 $aFinancial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of  financial intermediaries (FIs) on the periphery. The topology of the network results in the ?Too- Interconnected-To-Fail? (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ?super-spreaders? have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ?super-spreader? tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/282 606 $aDerivative securities 606 $aOver-the-counter markets 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aInvestments: Derivatives$2imf 606 $aIndustries: Financial Services$2imf 606 $aFinancial Crises$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancial Forecasting and Simulation$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aInternational Financial Markets$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinancial Institutions and Services: General$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aFinance$2imf 606 $aBanking$2imf 606 $aSystemic risk$2imf 606 $aDerivative markets$2imf 606 $aSystemically important financial institutions$2imf 606 $aFinancial derivatives$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial markets$2imf 606 $aFinancial institutions$2imf 606 $aFinancial contagion$2imf 606 $aFinancial risk management$2imf 606 $aBanks and banking$2imf 606 $aDerivative securities$2imf 606 $aFinancial services industry$2imf 607 $aUnited States$2imf 615 0$aDerivative securities. 615 0$aOver-the-counter markets. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aInvestments: Derivatives 615 7$aIndustries: Financial Services 615 7$aFinancial Crises 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancial Forecasting and Simulation 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aInternational Financial Markets 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinancial Institutions and Services: General 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aFinance 615 7$aBanking 615 7$aSystemic risk 615 7$aDerivative markets 615 7$aSystemically important financial institutions 615 7$aFinancial derivatives 615 7$aFinancial sector policy and analysis 615 7$aFinancial markets 615 7$aFinancial institutions 615 7$aFinancial contagion 615 7$aFinancial risk management 615 7$aBanks and banking 615 7$aDerivative securities 615 7$aFinancial services industry 700 $aMarkose$b Sheri$01476628 801 0$bDcWaIMF 906 $aBOOK 912 $a9910779643403321 996 $aSystemic Risk from Global Financial Derivatives$93691365 997 $aUNINA