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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.
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| Colección: | IMF working paper ;
WP/06/105. |
| Temas: | |
| Acceso en línea: | Texto completo |