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Record Nr. |
UNINA9910464563203321 |
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Autore |
Chan-Lau Jorge A |
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Titolo |
Idiosyncratic and systemic risk in the European corporate sector [[electronic resource] ] : CDO perspective / / prepared by Jorge A. Chan-Lau and Yinqiu Lu |
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Pubbl/distr/stampa |
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[Washington, D.C.], : International Monetary Fund, 2006 |
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ISBN |
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1-4623-4072-5 |
1-4519-9642-X |
1-283-51193-2 |
9786613824387 |
1-4519-0901-2 |
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Descrizione fisica |
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1 online resource (18 p.) |
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Collana |
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IMF working paper ; ; WP/06/107 |
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Altri autori (Persone) |
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Soggetti |
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Financial risk - Europe |
Credit derivatives - Europe |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""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"" |
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