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- W2752038923 abstract "Despite post-crisis reforms in over-the-counter derivatives markets, regulators are left with incomplete, but still improved, data-sets. This means that methods for reconstructing networks of bilateral exposures from incomplete data are still necessary to conduct a proper assessment of systemic risk. In this paper, we propose a modification of the network reconstruction method developed by Cont and Moussa that includes additional information which is now available to regulators through post-crisis reforms. By making use of a data-set containing all transactions on UK single name CDS contracts, we assess the suitability of the proposed methodology by examining the characteristics of reconstructed and real networks. We find that the proposed methodology allows us to reconstruct networks that both comply with the newly available information, and are as heterogeneous and sparse with fat tailed in- and out- degree distributions as the real ones." @default.
- W2752038923 created "2017-09-15" @default.
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- W2752038923 date "2017-09-06" @default.
- W2752038923 modified "2023-10-14" @default.
- W2752038923 title "Network reconstruction with UK CDS trade repository data" @default.
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- W2752038923 doi "https://doi.org/10.1080/14697688.2017.1357975" @default.
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