04822oam 22012014 450 991078841580332120230828232704.01-4623-4072-51-4519-9642-X1-283-51193-297866138243871-4519-0901-2(CKB)3360000000443432(EBL)3014350(SSID)ssj0000941466(PQKBManifestationID)11492040(PQKBTitleCode)TC0000941466(PQKBWorkID)10963803(PQKB)11502343(OCoLC)712989249(MiAaPQ)EBC3014350(IMF)WPIEE2006107(EXLCZ)99336000000044343220020129d2006 uf 0engur|n|---|||||txtccrIdiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective /Yinqiu Lu, Jorge Chan-LauWashington, D.C. :International Monetary Fund,2006.1 online resource (18 p.)IMF Working Papers"April 2006."1-4518-6367-5 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/107Financial riskEuropeCredit derivativesEuropeFinance: GeneralimfInvestments: StocksimfInvestments: DerivativesimfMoney and Monetary PolicyimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfGeneral Financial Markets: Government Policy and RegulationimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfFinanceimfMonetary economicsimfInvestment & securitiesimfCDOsimfSystemic riskimfCreditimfStocksimfCurrenciesimfDerivative securitiesimfFinancial risk managementimfMoneyimfUnited StatesimfFinancial riskCredit derivativesFinance: GeneralInvestments: StocksInvestments: DerivativesMoney and Monetary PolicyPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsGeneral Financial Markets: Government Policy and RegulationMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsFinanceMonetary economicsInvestment & securitiesCDOsSystemic riskCreditStocksCurrenciesDerivative securitiesFinancial risk managementMoneyLu Yinqiu1114888Chan-Lau Jorge1462089DcWaIMFBOOK9910788415803321Idiosyncratic and Systemic Risk in the European Corporate Sector3802294UNINA