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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00075835%21RIV15-MSM-14560___
rdf:type
skos:Concept n16:Vysledek
dcterms:description
The aim of the study is to examine network structures of credit default swaps (CDS) market, with focus on the most liquid CDS issued by the biggest European financial institutions. Correlation-based procedure is employed in order to identify links between CDS spreads. Correlation based networks allow us to comprehend and forecast the dynamics in the CDS market with reduction of complexity of dependencies. Network modeling of CDS spreads can be useful and powerful tool, which can provide much insight and understanding on mutual dependence of CDS spreads behavior. The results show that CDS spreads are homogeneous with respect to their economic sector, rather than country’s origin. The increasing correlations between spreads in the second phase of the financial crisis can provide an evidence that there could have been created more suitable conditions for dispersion of systemic risk. The aim of the study is to examine network structures of credit default swaps (CDS) market, with focus on the most liquid CDS issued by the biggest European financial institutions. Correlation-based procedure is employed in order to identify links between CDS spreads. Correlation based networks allow us to comprehend and forecast the dynamics in the CDS market with reduction of complexity of dependencies. Network modeling of CDS spreads can be useful and powerful tool, which can provide much insight and understanding on mutual dependence of CDS spreads behavior. The results show that CDS spreads are homogeneous with respect to their economic sector, rather than country’s origin. The increasing correlations between spreads in the second phase of the financial crisis can provide an evidence that there could have been created more suitable conditions for dispersion of systemic risk.
dcterms:title
Network Analysis of European Financial Institutions CDS Market Network Analysis of European Financial Institutions CDS Market
skos:prefLabel
Network Analysis of European Financial Institutions CDS Market Network Analysis of European Financial Institutions CDS Market
skos:notation
RIV/00216224:14560/14:00075835!RIV15-MSM-14560___
n3:aktivita
n19:S
n3:aktivity
S
n3:dodaniDat
n9:2015
n3:domaciTvurceVysledku
n18:2854996 n18:3176681
n3:druhVysledku
n15:D
n3:duvernostUdaju
n7:S
n3:entitaPredkladatele
n11:predkladatel
n3:idSjednocenehoVysledku
32211
n3:idVysledku
RIV/00216224:14560/14:00075835
n3:jazykVysledku
n14:eng
n3:klicovaSlova
financial contagion; correlation network; CDS market; network analysis; systemic risk
n3:klicoveSlovo
n8:CDS%20market n8:network%20analysis n8:financial%20contagion n8:systemic%20risk n8:correlation%20network
n3:kontrolniKodProRIV
[757D70B62AF1]
n3:mistoKonaniAkce
Ostrava
n3:mistoVydani
Karviná
n3:nazevZdroje
Proceedings of the 14th International Conference on Finance and Banking
n3:obor
n10:AE
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n9:2014
n3:tvurceVysledku
Deev, Oleg Kajurová, Veronika
n3:typAkce
n17:WRD
n3:wos
000345575000019
n3:zahajeniAkce
2013-01-01+01:00
s:numberOfPages
8
n5:hasPublisher
Slezská univerzita v Opavě
n12:isbn
9788072489398
n20:organizacniJednotka
14560