The network structure of overnight index swap rates

Document Type

Article

Publication Date

5-1-2022

Abstract

Graph theoretical techniques are utilized to examine the centrality structure of overnight index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise relationships between distinct OIS rates. Multiple notions of graph centrality are considered, and the time evolution of these measures is studied. A principal component analysis based centrality measure is constructed to examine comovements between full OIS curves. Numerical examples demonstrating these ideas are provided.

Identifier

85114933654 (Scopus)

Publication Title

Finance Research Letters

External Full Text Location

https://doi.org/10.1016/j.frl.2021.102425

ISSN

15446123

Volume

46

Grant

21-19311

Fund Ref

Grantová Agentura České Republiky

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