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A new risk indicator and stress testing tool : a multifactor Nth-to-Default CDS basket /
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 l...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2006.
|
| Colección: | IMF working paper ;
WP/06/105. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Avesani, Renzo G., |e author. | |
| 245 | 1 | 2 | |a A new risk indicator and stress testing tool : |b a multifactor Nth-to-Default CDS basket / |c prepared by Renzo G. Avesani, Antonio García Pascual, and Jing Li. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2006. | ||
| 300 | |a 1 online resource (23 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/105 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [S.l.] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 520 | 3 | |a 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. | |
| 505 | 0 | |a 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 | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Economic indicators. | |
| 650 | 0 | |a Default (Finance) |x Econometric models. | |
| 650 | 0 | |a Capital market |x Econometric models. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Défaillance (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Marché financier |x Modèles économétriques. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Indicateurs économiques. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a Default (Finance) |x Econometric models |2 fast | |
| 650 | 7 | |a Capital market |x Econometric models |2 fast | |
| 650 | 7 | |a Economic indicators |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 700 | 1 | |a Garcia Pascual, Antonio, |e author. | |
| 700 | 1 | |a Li, Jing, |e author. | |
| 758 | |i has work: |a A new risk indicator and stress testing tool (Text) |1 https://id.oclc.org/worldcat/entity/E39PCH4CjW7b8dDFpymMPfqJ6q |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Avesani, Renzo G. |t New risk indicator and stress testing tool. |d [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |w (OCoLC)76687180 |
| 830 | 0 | |a IMF working paper ; |v WP/06/105. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014391 |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL3014391 | ||
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| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n 382499 | ||
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