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...

Intro -- Contents -- I. INTRODUCTION -- II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS -- III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL FRAMEWORK -- VI. RESULTS -- VII. CONCLUSIONS -- REFERENCES.

The global financial crisis originated in advanced economies, but had a major impact on emerging markets. The impact, however, was not uniform. Even in a relatively homogenous group of countries such as ASEAN-4 (Indonesia, Malaysia, the Philippines and Thailand), there were considerable...

The global financial crisis originated in advanced economies, but had a major impact on emerging markets. The impact, however, was not uniform. Even in a relatively homogenous group of countries such as ASEAN-4 (Indonesia, Malaysia, the Philippines and Thailand), there were considerable...