Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 1

Comparison of a weighted vs. an unweighted network.

Network type	Eff. # of nodes	Eff. # of flows (MacArthur)	Eff. connectivity (HC)	Eff. # of roles (AIM)
Unweighted	5	7	1.4	3.571
Weighed network (a)	3.925	4.859	1.238	3.171
Weighed network (b)	2.644	4.859	1.837	1.439

Notes: for the weighted network (a) and (b), the only difference is the flow direction between node B and node C. For the unweighted network, we take the network from Figure 2 and assign a unit flow for all the directed edges.