On The Stability of Over-The-Counter Financial Networks: Theory, Computation and Application

Diplôme Thèse On The Stability of Over-The-Counter Financial Networks: Theory, Computation and Application eng 2025-07-01 2025-07-01 director Gibson Brandon Rajna Nicole 21951 Recherche et enseignement GSEM (RESEM) author Tywoniuk Magdalena 0000-0001-8975-616X 845327 312 10.13097/archive-ouverte/unige:190423 urn:nbn:ch:unige-1904235 GSEM 154 This dissertation consists of three independent but thematically connected essays that explore the pricing dynamics, structural fragility, and forecasting challenges in the credit derivatives market—specifically focusing on credit default swaps (CDS). Each paper investigates a unique dimension of credit market inefficiency, emphasizing the role of market opacity, structural fragmentation, and strategic behavior in shaping prices and systemic risk. The first paper develops a theoretical and simulation-based model of opaque CDS networks, showing how limited price transparency and strategic predation amplify spread volatility through nonlinear feedback and contagion effects. The second paper focuses on interoperability between central counterparties (CCPs), presenting a novel model that illustrates how linkages between CCPs can exacerbate fragmentation, increase inter-CCP price dispersion, and shift systemic risk dynamics. The third paper introduces a global machine learning forecasting model for single-name CDS, demonstrating that the structural relationships in the CDS network can be learned and exploited to forecast future spread movements more accurately than traditional models. Together, these papers advance our understanding of how institutional frictions, strategic interaction, and information asymmetries affect credit risk pricing. The results offer novel insights for risk managers, regulators, and academics by proposing mechanisms for mitigating volatility, improving market design, and enhancing credit forecasting through data-driven, yet economically grounded, models. Networks Credit Default Swaps Market Microstructure Information Price Formation Market Stability Contagion Predation CCP Dewey 650 116 Geneva Finance Research Institute S4 false 723 Geneva Finance Research Institute (GFRI) https://github.com/Mballerina/Thesis-TimeSeries-and-Networks https://github.com/Mballerina/Thesis---CDS-Contagion-Matlab-Simulation 7bb5a404-955c-4dd6-919e-064f8ed7ecca Thesis Public PhDDissertation.pdf 11102419 application/pdf ad85ea569b4a22e8e96eecb12a311764fa221c14fde7d1db58624bdc865bdc3e 4292c0c7-d079-487e-9f5a-71598cbb34f8 Imprimatur Public TYWONIUK_Magdalena_Imprimatur.pdf 33509 application/pdf 16dbbedaf1d9c83bcbd15a34bcf9ca7313fad9791423be3afff6d6a9021383fb b643da26-4268-412f-8e2e-62fbc249e9e8 Supplemental data Public Public_Thesis_Presentation_.pdf 11125556 application/pdf Public thesis presentation 0c7566456bc9970f075c9c4a9a2b6b17561be6b87aa0057be13436853dddbc8b 69802bcd-6a48-4344-a6e6-7855ee7b3b7c Recording Public GMT20250701-112506_Recording_(1).m4a 74459244 audio/mp4 6eb9150bd6a7a7796b00c25e107106c94eefc255491cf294b2383ef82df32e03 openAccess Faculté d'économie et de management / Geneva Finance Research Institute

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On The Stability of Over-The-Counter Financial Networks: Theory, Computation and Application				2025	93	185

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Tywoniuk, Magdalena

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