?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F2781%2F&rft.title=Assessing+financial+distress+dependencies+in+OTC+markets%3A%0D%0Aa+new+approach+by+Trade+Repositories+data&rft.creator=Bonollo%2C+Michele&rft.creator=Crimaldi%2C+Irene&rft.creator=Flori%2C+Andrea&rft.creator=Gianfagna%2C+Laura&rft.creator=Pammolli%2C+Fabio&rft.subject=HB+Economic+Theory&rft.subject=HF+Commerce&rft.subject=HG+Finance&rft.description=After+the+recent+financial+crisis%2C+it+is+undoubtedly+recognized+the+importance+of+assessing%0D%0Anot+only+the+risk+of+distress+for+a+single+%5Cfinancial+entity%22%2C+but+also+the+distress+dependencies%0D%0Abetween+the+different+%5Centities%22%2C+where+by+%5Centities%22+we+mean+in+a+broad+sense+any+relevant%0D%0Acluster+of+products%2C+risk+factors%2C+counterparties.+In+this+paper%2C+we+focus+on+the+Interest+Rate%0D%0ASwap+(IRS)+segment+as+a+significant+fraction+of+the+OTC+market.+We+define+a+distress+indicator%0D%0Aby+combining+some+distress+drivers%2C+such+as+averaged+volumes%2C+liquidity%2C+volatility+and%0D%0Abid-ask+proxies.+Hence%2C+we+analyse+the+distress+dependencies+among+sub-markets+identified%0D%0Aby+the+segmentation+of+the+IRS+market+according+to+contractual+and+financial+features.+We%0D%0Atry+to+combine+in+an+innovative+way+some+new+ingredients%2C+namely+the+more+granular+data%0D%0Aon+OTC+derivatives+available+from+the+trade+repositories+along+with+the+classical+JPoD+approach%0D%0Aintroduced+in+the+recent+years+by+the+IMF+for+studying+the+distress+interdependence%0D%0Astructure+among+financial+institutions.+The+proposed+technique+seems+to+be+quite+promising.%0D%0AIndeed%2C+the+results+are+quite+close+to+the+practical+intuition.+At+the+best+of+our+knowledge%2C%0D%0Athis+work+is+the+first+empirical+study+based+on+trade+repositories'+data+for+assessing+systemic%0D%0Arisk.&rft.publisher=IMT+Institute+for+Advanced+Studies+Lucca&rft.date=2015-10-20&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nc&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F2781%2F1%2FWP_2015_10.pdf&rft.identifier=++Bonollo%2C+Michele+and+Crimaldi%2C+Irene+and+Flori%2C+Andrea+and+Gianfagna%2C+Laura+and+Pammolli%2C+Fabio++Assessing+financial+distress+dependencies+in+OTC+markets%3A+a+new+approach+by+Trade+Repositories+data.++EIC+working+paper+series++%2310%2F2015++++IMT+Institute+for+Advanced+Studies+Lucca+++++++++