TY  - JOUR
JF  - Financial Markets and Portfolio Management
ID  - eprints3598
PB  - Springer
UR  - http://link.springer.com/article/10.1007/s11408-016-0275-7
KW  - Financial distress interdependence
KW  -  Joint probability of distress
KW  -  Interest rate swaps
KW  -  Systemic risk
KW  -  Micro-founded trade repositories? data
SN  - 1934-4554
Y1  - 2016/11//
EP  - 426
AV  - none
SP  - 397
A1  - Bonollo, Michele
A1  - Crimaldi, Irene
A1  - Flori, Andrea
A1  - Gianfagna, Laura
A1  - Pammolli, Fabio
TI  - Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data
N2  - In this paper, we study the relationships among financial market sub-segments as a way to identify potential financial distress through increased co-movements among them. To study how sub-markets are mutually co-dependent, we combine granular data on over-the-counter derivatives by trade repositories and the joint probability of distress (JPoD) approach introduced by the International Monetary Fund. We define an indicator that combines several distress drivers and observe that results on co-dependencies are similar to those that would be expected: similarities between financial and contractual terms seem to be responsible for stronger co-movements among sub-markets. However, high values for JPoD even in correspondence of quite dissimilar sub-markets suggest the presence of other drivers that should be investigated in future research. To the best of our knowledge, this is the first empirical study on systemic risk assessment based on micro-founded trade repositories? data on interest rate swaps.
IS  - 4
VL  - 30
ER  -