05168oam 22012734 450 991081144920332120240410162511.01-4623-0541-51-4527-9151-11-283-51254-81-4519-0899-79786613824998(CKB)3360000000443491(EBL)3014391(SSID)ssj0000940021(PQKBManifestationID)11491946(PQKBTitleCode)TC0000940021(PQKBWorkID)10939138(PQKB)11124047(OCoLC)712989261(MiAaPQ)EBC3014391(IMF)WPIEE2006105(EXLCZ)99336000000044349120020129d2006 uf 0engur|n|---|||||txtccrA New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket /Renzo Avesani, Jing Li, Antonio Garcia Pascual1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (25 p.)IMF Working Papers"April 2006".1-4518-6365-9 Includes bibliographical references.""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""; ""References""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 multifactor latent structure, we link the market risk (the covariance of the LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the response of the probabilities of default to changing macroeconomic conditions, we run a stress test by generating shocks to the latent multifactor structure. The results unveil a rich set of default probability dynamics and help in identifying the most relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike.IMF Working Papers; Working Paper ;No. 2006/105Risk managementEconomic indicatorsBanks and BankingimfEconometricsimfInvestments: DerivativesimfMoney and Monetary PolicyimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfClassification MethodsimfCluster AnalysisimfPrincipal ComponentsimfFactor ModelsimfMonetary economicsimfFinanceimfBankingimfEconometrics & economic statisticsimfCredit default swapimfCreditimfCDOsimfFactor modelsimfDerivative securitiesimfBanks and bankingimfEconometric modelsimfUnited StatesimfRisk management.Economic indicators.Banks and BankingEconometricsInvestments: DerivativesMoney and Monetary PolicyMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsBanksDepository InstitutionsMicro Finance InstitutionsMortgagesClassification MethodsCluster AnalysisPrincipal ComponentsFactor ModelsMonetary economicsFinanceBankingEconometrics & economic statisticsCredit default swapCreditCDOsFactor modelsDerivative securitiesBanks and bankingEconometric modelsAvesani Renzo1691014Li Jing651690Garcia Pascual Antonio1674615DcWaIMFBOOK9910811449203321A New Risk Indicator and Stress Testing Tool4067105UNINA