Credit Default Swaps Drawup Networks: Too Interconnected to Be Stable?
Figure 5
Illustration of the -drawup methodology.
(a) The * represents local extrema that were not detected as drawups. The red-dots represent local maxima that were picked up as candidates for a -drawup. The green-dots represent the local minima that were picked up for a
-drawup. Compare the difference between the maxima and minima on days 5 and 6 respectively with
. Since,
greater than the difference, we iterate to the next set of local maxima and minima on days 7 and 8, keeping day 3 as the day from when we count a
-drawup (b) The plot highlights the
-drawup methodology applied to the time series of American International Group (AIG) and Merrill Lynch (MER).