eprintid: 3598
rev_number: 7
eprint_status: archive
userid: 36
dir: disk0/00/00/35/98
datestamp: 2016-11-21 12:16:45
lastmod: 2016-11-21 12:16:45
status_changed: 2016-11-21 12:16:45
type: article
metadata_visibility: show
creators_name: Bonollo, Michele
creators_name: Crimaldi, Irene
creators_name: Flori, Andrea
creators_name: Gianfagna, Laura
creators_name: Pammolli, Fabio
creators_id: michele.bonollo@imtlucca.it
creators_id: irene.crimaldi@imtlucca.it
creators_id: andrea.flori@imtlucca.it
creators_id: laura.gianfagna@imtlucca.it
creators_id: f.pammolli@imtlucca.it
title: Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data
ispublished: pub
subjects: HD61
subjects: HG
divisions: EIC
full_text_status: none
keywords: Financial distress interdependence, Joint probability of distress, Interest rate swaps, Systemic risk, Micro-founded trade repositories’ data
abstract: 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.
date: 2016-11
date_type: published
publication: Financial Markets and Portfolio Management
volume: 30
number: 4
publisher: Springer
pagerange: 397-426
id_number: DOI: 10.1007/s11408-016-0275-7
refereed: TRUE
issn: 1934-4554
official_url: http://link.springer.com/article/10.1007/s11408-016-0275-7
projects: CRISIS Lab
citation:   Bonollo, Michele and Crimaldi, Irene and Flori, Andrea and Gianfagna, Laura and Pammolli, Fabio  Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data.  Financial Markets and Portfolio Management, 30 (4).  pp. 397-426.  ISSN 1934-4554      (2016)