Interest Rate Swap Market Complexity and Its Risk Management Implications

<table class="figure-group"><tr class="fig-image" id="a"><td><object data="https://static-preview.hindawi.com/articles/complexity/volume-2018/5470305/figures/5470305.fig.006a.svgz" name="5470305.fig.006a" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(a) </b>A directed network with all swap entities</td></tr><tr class="fig-image" id="b"><td><object data="https://static-preview.hindawi.com/articles/complexity/volume-2018/5470305/figures/5470305.fig.006b.svgz" name="5470305.fig.006b" type="image/svg+xml"></object></td></tr><tr class="fig-caption"><td><b>(b) </b>A directed network with swap dealers and their counterparties</td></tr></table>

<div>Swap daily network topological structures. Note: the gray scale of the arrows indicates the different levels of total notional value aggregated on a daily basis: the darker the gray, the higher the total notional value of the contracts.</div>

Complexity

fig6

Figure 6

Figure 6: Interest Rate Swap Market Complexity and Its Risk Management Implications 