05041oam 22012974 450 991095612030332120250426110539.09786613824387978146234072914623407259781451996425145199642X9781283511933128351193297814519090121451909012(CKB)3360000000443432(EBL)3014350(SSID)ssj0000941466(PQKBManifestationID)11492040(PQKBTitleCode)TC0000941466(PQKBWorkID)10963803(PQKB)11502343(OCoLC)712989249(IMF)WPIEE2006107(MiAaPQ)EBC3014350(IMF)WPIEA2006107WPIEA2006107(EXLCZ)99336000000044343220020129d2006 uf 0engur|n|---|||||txtccrIdiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective /Yinqiu Lu, Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (18 p.)IMF Working Papers"April 2006."9781451863673 1451863675 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 derivativesEuropeCdosimfCreditimfCurrenciesimfDerivative securitiesimfFinanceimfFinance: GeneralimfFinancial InstrumentsimfFinancial risk managementimfGeneral Financial Markets: Government Policy and RegulationimfGovernment and the Monetary SystemimfInstitutional InvestorsimfInvestment & securitiesimfInvestments: DerivativesimfInvestments: StocksimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfNon-bank Financial InstitutionsimfPayment SystemsimfPension FundsimfRegimesimfStandardsimfStocksimfSystemic riskimfUnited StatesimfFinancial riskCredit derivativesCdosCreditCurrenciesDerivative securitiesFinanceFinance: GeneralFinancial InstrumentsFinancial risk managementGeneral Financial Markets: Government Policy and RegulationGovernment and the Monetary SystemInstitutional InvestorsInvestment & securitiesInvestments: DerivativesInvestments: StocksMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMonetary SystemsMoney and Monetary PolicyMoneyNon-bank Financial InstitutionsPayment SystemsPension FundsRegimesStandardsStocksSystemic riskLu Yinqiu1114888Chan-Lau Jorge1815656DcWaIMFBOOK9910956120303321Idiosyncratic and Systemic Risk in the European Corporate Sector4371405UNINA