2 options
A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket / Renzo Avesani, Jing Li, Antonio Garcia Pascual.
- Format:
- Book
- Government document
- Author/Creator:
- Avesani, Renzo.
- Series:
- IMF Working Papers; Working Paper ; No. 2006/105
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Risk management.
- Economic indicators.
- Physical Description:
- 1 online resource (25 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2006.
- Language Note:
- English
- Summary:
- This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the response of the probabilities of default to changing macroeconomic conditions, we run a stress test by generating shocks to the latent multifactor structure. The results unveil a rich set of default probability dynamics and help in identifying the most relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike.
- Contents:
- ""Contents""; ""I. INTRODUCTION""; ""II. DESCRIPTION OF THE INDICATOR""; ""III. MODEL DESCRIPTION""; ""IV. DATA DESCRIPTION""; ""V. FACTOR ANALYSIS: ESTIMATION RESULTS""; ""VI. COMPUTATION OF THE PROBABILITIES OF DEFAULT""; ""VII. SENSITIVITY ANALYSIS""; ""VIII. STRESS TESTING""; ""IX. CONCLUDING REMARKS""; ""References""
- Notes:
- "April 2006".
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786613824998
- 9781462305414
- 1462305415
- 9781452791517
- 1452791511
- 9781283512541
- 1283512548
- 9781451908992
- 1451908997
- OCLC:
- 712989261
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.