<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data"^^ . "After the recent financial crisis, it is undoubtedly recognized the importance of assessing\r\nnot only the risk of distress for a single \\financial entity\", but also the distress dependencies\r\nbetween the different \\entities\", where by \\entities\" we mean in a broad sense any relevant\r\ncluster of products, risk factors, counterparties. In this paper, we focus on the Interest Rate\r\nSwap (IRS) segment as a significant fraction of the OTC market. We define a distress indicator\r\nby combining some distress drivers, such as averaged volumes, liquidity, volatility and\r\nbid-ask proxies. Hence, we analyse the distress dependencies among sub-markets identified\r\nby the segmentation of the IRS market according to contractual and financial features. We\r\ntry to combine in an innovative way some new ingredients, namely the more granular data\r\non OTC derivatives available from the trade repositories along with the classical JPoD approach\r\nintroduced in the recent years by the IMF for studying the distress interdependence\r\nstructure among financial institutions. The proposed technique seems to be quite promising.\r\nIndeed, the results are quite close to the practical intuition. At the best of our knowledge,\r\nthis work is the first empirical study based on trade repositories' data for assessing systemic\r\nrisk."^^ . "2015-10-20" . . "10" . . "IMT Institute for Advanced Studies Lucca"^^ . . . . . . . . . . . . . . . . . . . "Andrea"^^ . "Flori"^^ . "Andrea Flori"^^ . . "Irene"^^ . "Crimaldi"^^ . "Irene Crimaldi"^^ . . "Michele"^^ . "Bonollo"^^ . "Michele Bonollo"^^ . . "Fabio"^^ . "Pammolli"^^ . "Fabio Pammolli"^^ . . "Laura"^^ . "Gianfagna"^^ . "Laura Gianfagna"^^ . . . . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data (PDF)"^^ . . . . . . "WP_2015_10.pdf"^^ . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Assessing financial distress dependencies in OTC markets:\r\na new approach by Trade Repositories data (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #2781 \n\nAssessing financial distress dependencies in OTC markets: \na new approach by Trade Repositories data\n\n" . "text/html" . . . "HB Economic Theory"@en . . . "HF Commerce"@en . . . "HG Finance"@en . .