BoE paper studies ‘multiplex’ network model of derivatives market
Low liquidity buffers can lead to significant spillovers for some firms, authors warn
A “multiplex” network model can shed light on the dynamics of over-the-counter derivatives markets, researchers find in a new staff working paper published by the Bank of England.
Marco Bardoscia, Ginestra Bianconi and Gerardo Ferrara make use of a multiplex model as this allows them to build a network consisting of multiple markets and asset classes. They draw on trade repository data for the OTC derivatives markets in interest rates, credit and foreign exchange.
The model allows the authors
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