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A new risk indicator and stress testing tool : a multifactor nth-to-default CDS basket

Avesani, Renzo G.; Garcia Pascual, Antonio; Li, Jing - 2006

Persistent link: https://www.econbiz.de/10003329110

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A New Risk Indicator and Stress Testing tool; A Multifactor Nth-to-Default CDS Basket

Avesani, Renzo G.; Li, Jing; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2006

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...

Persistent link: https://www.econbiz.de/10005826610

New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Garcia Pascual, Antonio - 2006

Intro -- 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...

Persistent link: https://www.econbiz.de/10012691123

Accounting information and risk shifting with asymmetrically informed creditors

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Persistent link: https://www.econbiz.de/10015048998

A New Risk Indicator and Stress Testing tool : A Multifactor Nth-to-Default CDS Basket

Avesani, Renzo G. - 2006

Persistent link: https://www.econbiz.de/10014400409

Impact of enterprises relationship on ML's ability to forecast SME's credit risk in SCF : a research based on complex network

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Determinants of small business default

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Thy neighbor's mortgage : does living in a subprime neighborhood affect one's probability of default?

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