Interest Rate Swap Market Complexity and Its Risk Management Implications
Table 6
Regression of unweighted network properties on the complexity measures.
Num. of entities
Num. of contracts
Degree centrality
Between. of centrality
Closeness centrality
Eigenvec. centrality
(Intercept)
−245 : 977 (−4.895)
−2681 : 61 (−9.230)
−0 : 5404 (−0.452)
−273 : 358 (−6.228)
0 : 001415 8.556)
0 : 05801 (8.653)
complexity
61 : 015 (6.590)
277 : 67 (5.188)
−0 : 2269 (−1.030)
64 : 118 (7.929)
−0 : 00014 (−4.570)
−0 : 00258 (−2.093)
complexity
56 : 764 (10.105)
491 : 67 (15.140)
1 : 5153 (11.339)
55 : 671 (11.347)
−0 : 00014 (−7.769)
−0 : 00504 (−6.721)
R-squared
0.2361
0.4957
0.5197
0.2759
0.1607
0.1688
DF
343
343
343
343
343
343
F-stats
53.02
168.6
185.6
65.33
32.84
34.82
value
2.2e − 16
2.2e − 16
2.2e − 16
2.2e − 16
8.91e − 14
1.711e − 14
Notes: this table shows how much of the standard network property measures can be explained by the proposed network flow complexity measures. Significance level code: 0.01 “,” 0.05 “,” and 0.1 “.”
