Idiosyncratic and Systemic Risk in the European Corporate Sector : a CDO Perspective /

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in advan...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lu, Yinqiu
Autor Corporativo: International Monetary Fund
Otros Autores: Chan-Lau, Jorge A.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, 2006.
Colección:IMF Working Papers ; Working Paper no. 06/107.
Temas:
Financial risk > Europe.
Credit derivatives > Europe.
Risque financier > Europe.
Instruments dérivés de crédit > Europe.
Credit derivatives
Financial risk
Europe
Acceso en línea:Texto completo
Descripción
Sumario:Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in advance. In this paper, we explain how to construct idiosyncratic and systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations (STCDOs) referencing credit derivatives indices. As an illustration, both risk indicators are constructed for the European corporate sector using midprice quotes for STCDOs referencing the iTraxx Europe index.
Notas:Available in PDF, ePUB, and Mobi formats on the Internet.
Descripción Física:1 online resource (18 pages)
ISBN:1451909012
9781451909012
ISSN:2227-8885 ;

Ejemplares similares