Interest Rate Swap Market Complexity and Its Risk Management Implications

Figure 8

Impulse response analysis for H_C complexity and G/K swap rate volatility. The shaded area indicates the 95% confidence interval for simulation results. The confidence intervals get larger when they are further away from the start of the impulse.

(a) H_C complexity impulse response to G/K swap rate volatility

(b) G/K volatility impulse response to H_C complexity