TI Complexity in Economics Seminars

Speaker(s)
Stefano Battiston (Zurich University, Switzerland)
Date
Wednesday, 3 December 2014
Location
Amsterdam

I will report some recent empirical findings from the analysis of various financial networks. On the one hand, central bank data of interbank markets in Italy and Germany provide detailed exposure information of both credit and OTC derivatives. On the other hand, time series of CDS allows to construct networks of comovements among financial institutions with various methods. I will present the insights and the challenges of this type of analysis from the point of view of estimating and mitigating systemic risk.