The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives

9 July 2015

The Over-the-Counter derivatives market is one of the largest. It is, however, not as transparent as other, exchange traded markets. In our new article we attempt to reconstruct the network of OTC derivatives trade between major US banks, in which we observe a clear core-periphery structure over a long period of time.


The interactive plot presented below is the chord representation of the network, presented in Figure 8 and 9 of the article.
In other words, it is the time aggregated network of the temporal network, shown in the video above.

  • Mouseover a bank to highlight its connections
  • Banks are colored randomly for distinguishing easier
  • For each bank the edges are sorted according to weight
  • Edge color corresponds to the color of the smaller end

The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives

[2015]
Nanumyan, Vahan; Garas, Antonios; Schweitzer, Frank

PLOS ONE, pages: e0136638, volume: 10

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