
Systemic risk in derivative markets : a graph-theory analysis
Lautier, Delphine; Raynaud, Franck (2011), Systemic risk in derivative markets : a graph-theory analysis, Workshop on commodities, EM Lyon Business School, Center for Financial Risks Analysis, 2011-05, Lyon, France
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Type
Communication / ConférenceDate
2011Conference title
Workshop on commodities, EM Lyon Business School, Center for Financial Risks AnalysisConference date
2011-05Conference city
LyonConference country
FrancePages
24
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Show full item recordAbstract (EN)
This article inves tigates the time evolution of the integra tion of derivative markets through the graph-theory. We focus on three categor ies of underlying as sets : energy and agricultural products , as well as financial assets . Integration is seen as a necessary condition for systemic risk to appear. In order to fully understand it, this phenomenon is comprehended through a three-dimensional approach : observation time, spatial relations hips and terms tructures. Such an approach indeed gives the possibility to investigate pricess hocks appearing and propagating in the physical as well as in the paper markets . In order to unders tand the underly ing principles and dynamic behavior of our system, we select specific tools of statistical physics . We first use minimums panning trees as a way to filter the information contained in the graph. We then study the topology of the filtered networks in order, first to see how the y are organized, second to quantify the degree of randomness in this organization. Lastly, the time dependent properties of the trees are examined. On an economic point of view, the emerging taxonomy is meaningful, which is a key justification of the use of our methodology. Moreover, we observe an increasing integration of the markets through time, as well as a dominance of s patial over maturity integration.Subjects / Keywords
derivative markets; Systemic risk; graph theoryRelated items
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