Credit default swaps networks and systemic risk

M. Puliga, G. Caldarelli, S. Battiston

Scientific Reports 4, 1 (2014)


Download the PDF

LQ placeholderCDS spreads over time for the selected institutions

CDS spreads over time for the selected institutions

Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

LQ placeholder

Degree-correlations in a bursting dynamic network model

F. Vanni, P. Barucca

Journal of Economic Interaction and Coordination

LQ placeholder

Scale of non-locality for a system of n particles

S. Talaganis, I. Teimouri

Sub. to Physical Review D

LQ placeholder

Changes to Gate Closure and its impact on wholesale electricity prices: The case of the UK

A. Facchini, A. Rubino, G. Caldarelli, G. Liddo

Energy Policy

LQ placeholder

How much can we influence the rate of innovation?

T. Fink, M. Reeves

Science Advances

LQ placeholder

The statistical physics of real-world networks

G. Cimini, T. Squartini, F. Saracco, D. Garlaschelli, A. Gabrielli, G. Caldarelli

Nature Reviews Physics

LQ placeholder

PopRank: Ranking pages’ impact and users’ engagement on Facebook

A. Zaccaria, M. Vicario, W. Quattrociocchi, A. Scala, L. Pietronero


128 / 128 papers