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Record Nr. |
UNINA9910788415803321 |
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Autore |
Lu Yinqiu |
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Titolo |
Idiosyncratic and Systemic Risk in the European Corporate Sector : : A CDO Perspective / / Yinqiu Lu, Jorge Chan-Lau |
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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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Altri autori (Persone) |
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Soggetti |
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Financial risk - Europe |
Credit derivatives - Europe |
Finance: General |
Investments: Stocks |
Investments: Derivatives |
Money and Monetary Policy |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
General Financial Markets: Government Policy and Regulation |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Monetary Systems |
Standards |
Regimes |
Government and the Monetary System |
Payment Systems |
Finance |
Monetary economics |
Investment & securities |
CDOs |
Systemic risk |
Credit |
Stocks |
Currencies |
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Derivative securities |
Financial risk management |
Money |
United States |
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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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Sommario/riassunto |
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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. |
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