Title: An Empirical Study of Network Structure in the Credit Default Swap Market
Abstract: I report on my summer internship at Deutsche Bundesbank. Based on transaction-level data on Credit Default Swaps collected under EMIR, I conducted a descriptive study of the dynamic network structure of this market. I will present results from this exercise, with a focus on network concentration. I will also discuss my process of arriving at these results and provide learnings for working with this kind of data.
This work is a first step towards a larger research effort to reconcile the theory of systemic risk in financial networks with the reality of the observable network. Beyond the obvious research contribution, overcoming this disconnect will also sharpen the regulator's tools for monitoring and reacting to systemic risk. In the second part of my talk, I would like to discuss in an open format further possible directions towards this goal.