05367oam 22013574 450 991096453850332120250426110711.0978661382499897814623054141462305415978145279151714527915119781283512541128351254897814519089921451908997(CKB)3360000000443491(EBL)3014391(SSID)ssj0000940021(PQKBManifestationID)11491946(PQKBTitleCode)TC0000940021(PQKBWorkID)10939138(PQKB)11124047(OCoLC)712989261(IMF)WPIEE2006105(MiAaPQ)EBC3014391(IMF)WPIEA2006105WPIEA2006105(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".9781451863659 1451863659 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 indicatorsBankingimfBanks and BankingimfBanks and bankingimfBanksimfCdosimfClassification MethodsimfCluster AnalysisimfCredit default swapimfCreditimfDepository InstitutionsimfDerivative securitiesimfEconometric modelsimfEconometrics & economic statisticsimfEconometricsimfFactor ModelsimfFactor modelsimfFinanceimfFinancial InstrumentsimfInstitutional InvestorsimfInvestments: DerivativesimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMortgagesimfNon-bank Financial InstitutionsimfPension FundsimfPrincipal ComponentsimfUnited StatesimfRisk management.Economic indicators.BankingBanks and BankingBanks and bankingBanksCdosClassification MethodsCluster AnalysisCredit default swapCreditDepository InstitutionsDerivative securitiesEconometric modelsEconometrics & economic statisticsEconometricsFactor ModelsFactor modelsFinanceFinancial InstrumentsInstitutional InvestorsInvestments: DerivativesMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMortgagesNon-bank Financial InstitutionsPension FundsPrincipal ComponentsAvesani Renzo1815698Garcia Pascual Antonio1766580Li Jing651690DcWaIMFBOOK9910964538503321A New Risk Indicator and Stress Testing Tool4371666UNINA