Title: Dependency Analysis in OTC Derivatives Networks
Abstract: Stress tests in credit network always have a unique outcome while for OTC derivatives networks, there are also the possibility of having multiple solutions or no solution at all. While it is NP-hard to determine exactly in which of the three cases we are, analyzing the nature of the dependency between different credit events can yield strong sufficient conditions which can be efficiently checked. In my talk, I would like to discuss graph-based approaches and future directions of this kind of dependency analysis.
