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010   $a1-4519-9642-X
010   $a1-283-51193-2
010   $a9786613824387
010   $a1-4519-0901-2
035   $a(CKB)3360000000443432
035   $a(EBL)3014350
035   $a(SSID)ssj0000941466
035   $a(PQKBManifestationID)11492040
035   $a(PQKBTitleCode)TC0000941466
035   $a(PQKBWorkID)10963803
035   $a(PQKB)11502343
035   $a(OCoLC)712989249
035   $a(IMF)WPIEE2006107
035   $a(MiAaPQ)EBC3014350
035   $a(IMF)WPIEA2006107
035   $a(EXLCZ)993360000000443432
100   $a20020129d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aIdiosyncratic and Systemic Risk in the European Corporate Sector : $eA CDO Perspective /$fYinqiu Lu, Jorge Chan-Lau
205   $a1st ed.
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (18 p.)
225 1 $aIMF Working Papers
300   $a"April 2006."
311   $a1-4518-6367-5 
320   $aIncludes bibliographical references.
327   $a""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""
330 3 $aSystemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in advance. In this paper, we explain how to construct idiosyncratic and systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations (STCDOs) referencing credit derivatives indices. As an illustration, both risk indicators are constructed for the European corporate sector using midprice quotes for STCDOs referencing the iTraxx Europe index.
410  0$aIMF Working Papers; Working Paper ;$vNo. 2006/107
606   $aFinancial risk$zEurope
606   $aCredit derivatives$zEurope
606   $aCdos$2imf
606   $aCredit$2imf
606   $aCurrencies$2imf
606   $aDerivative securities$2imf
606   $aFinance$2imf
606   $aFinance: General$2imf
606   $aFinancial Instruments$2imf
606   $aFinancial risk management$2imf
606   $aGeneral Financial Markets: Government Policy and Regulation$2imf
606   $aGovernment and the Monetary System$2imf
606   $aInstitutional Investors$2imf
606   $aInvestment & securities$2imf
606   $aInvestments: Derivatives$2imf
606   $aInvestments: Stocks$2imf
606   $aMonetary economics$2imf
606   $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf
606   $aMonetary Systems$2imf
606   $aMoney and Monetary Policy$2imf
606   $aMoney$2imf
606   $aNon-bank Financial Institutions$2imf
606   $aPayment Systems$2imf
606   $aPension Funds$2imf
606   $aRegimes$2imf
606   $aStandards$2imf
606   $aStocks$2imf
606   $aSystemic risk$2imf
607   $aUnited States$2imf
615  0$aFinancial risk
615  0$aCredit derivatives
615  7$aCdos
615  7$aCredit
615  7$aCurrencies
615  7$aDerivative securities
615  7$aFinance
615  7$aFinance: General
615  7$aFinancial Instruments
615  7$aFinancial risk management
615  7$aGeneral Financial Markets: Government Policy and Regulation
615  7$aGovernment and the Monetary System
615  7$aInstitutional Investors
615  7$aInvestment & securities
615  7$aInvestments: Derivatives
615  7$aInvestments: Stocks
615  7$aMonetary economics
615  7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General
615  7$aMonetary Systems
615  7$aMoney and Monetary Policy
615  7$aMoney
615  7$aNon-bank Financial Institutions
615  7$aPayment Systems
615  7$aPension Funds
615  7$aRegimes
615  7$aStandards
615  7$aStocks
615  7$aSystemic risk
700   $aLu$b Yinqiu$01114888
701   $aChan-Lau$b Jorge$01769676
801  0$bDcWaIMF
906   $aBOOK
912   $a9910808811903321
996   $aIdiosyncratic and Systemic Risk in the European Corporate Sector$94253999
997   $aUNINA