relation: http://eprints.imtlucca.it/2781/
title: Assessing financial distress dependencies in OTC markets:  a new approach by Trade Repositories data
creator: Bonollo, Michele
creator: Crimaldi, Irene
creator: Flori, Andrea
creator: Gianfagna, Laura
creator: Pammolli, Fabio
subject: HB Economic Theory
subject: HF Commerce
subject: HG Finance
description: After the recent financial crisis, it is undoubtedly recognized the importance of assessing  not only the risk of distress for a single \financial entity", but also the distress dependencies  between the different \entities", where by \entities" we mean in a broad sense any relevant  cluster of products, risk factors, counterparties. In this paper, we focus on the Interest Rate  Swap (IRS) segment as a significant fraction of the OTC market. We define a distress indicator  by combining some distress drivers, such as averaged volumes, liquidity, volatility and  bid-ask proxies. Hence, we analyse the distress dependencies among sub-markets identified  by the segmentation of the IRS market according to contractual and financial features. We  try to combine in an innovative way some new ingredients, namely the more granular data  on OTC derivatives available from the trade repositories along with the classical JPoD approach  introduced in the recent years by the IMF for studying the distress interdependence  structure among financial institutions. The proposed technique seems to be quite promising.  Indeed, the results are quite close to the practical intuition. At the best of our knowledge,  this work is the first empirical study based on trade repositories' data for assessing systemic  risk.
publisher: IMT Institute for Advanced Studies Lucca
date: 2015-10-20
type: Working Paper
type: NonPeerReviewed
format: application/pdf
language: en
rights: cc_by_nc
identifier: http://eprints.imtlucca.it/2781/1/WP_2015_10.pdf
identifier:   Bonollo, Michele and Crimaldi, Irene and Flori, Andrea and Gianfagna, Laura and Pammolli, Fabio  Assessing financial distress dependencies in OTC markets: a new approach by Trade Repositories data.  EIC working paper series  #10/2015    IMT Institute for Advanced Studies Lucca