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100   $a20020129d2006      uf         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 12$aA New Risk Indicator and Stress Testing Tool : $eA Multifactor Nth-to-Default CDS Basket /$fRenzo Avesani, Jing Li, Antonio Garcia Pascual
205   $a1st ed.
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (25 p.)
225 1 $aIMF Working Papers
300   $a"April 2006".
311   $a1-4518-6365-9 
320   $aIncludes bibliographical references.
327   $a""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""
330 3 $aThis paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the response of the probabilities of default to changing macroeconomic conditions, we run a stress test by generating shocks to the latent multifactor structure. The results unveil a rich set of default probability dynamics and help in identifying the most relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike.
410  0$aIMF Working Papers; Working Paper ;$vNo. 2006/105
606   $aRisk management
606   $aEconomic indicators
606   $aBanks and Banking$2imf
606   $aEconometrics$2imf
606   $aInvestments: Derivatives$2imf
606   $aMoney and Monetary Policy$2imf
606   $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf
606   $aPension Funds$2imf
606   $aNon-bank Financial Institutions$2imf
606   $aFinancial Instruments$2imf
606   $aInstitutional Investors$2imf
606   $aBanks$2imf
606   $aDepository Institutions$2imf
606   $aMicro Finance Institutions$2imf
606   $aMortgages$2imf
606   $aClassification Methods$2imf
606   $aCluster Analysis$2imf
606   $aPrincipal Components$2imf
606   $aFactor Models$2imf
606   $aMonetary economics$2imf
606   $aFinance$2imf
606   $aBanking$2imf
606   $aEconometrics & economic statistics$2imf
606   $aCredit default swap$2imf
606   $aCredit$2imf
606   $aCDOs$2imf
606   $aFactor models$2imf
606   $aDerivative securities$2imf
606   $aBanks and banking$2imf
606   $aEconometric models$2imf
607   $aUnited States$2imf
615  0$aRisk management.
615  0$aEconomic indicators.
615  7$aBanks and Banking
615  7$aEconometrics
615  7$aInvestments: Derivatives
615  7$aMoney and Monetary Policy
615  7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General
615  7$aPension Funds
615  7$aNon-bank Financial Institutions
615  7$aFinancial Instruments
615  7$aInstitutional Investors
615  7$aBanks
615  7$aDepository Institutions
615  7$aMicro Finance Institutions
615  7$aMortgages
615  7$aClassification Methods
615  7$aCluster Analysis
615  7$aPrincipal Components
615  7$aFactor Models
615  7$aMonetary economics
615  7$aFinance
615  7$aBanking
615  7$aEconometrics & economic statistics
615  7$aCredit default swap
615  7$aCredit
615  7$aCDOs
615  7$aFactor models
615  7$aDerivative securities
615  7$aBanks and banking
615  7$aEconometric models
700   $aAvesani$b Renzo$01691014
701   $aLi$b Jing$0651690
701   $aGarcia Pascual$b Antonio$01674615
801  0$bDcWaIMF
906   $aBOOK
912   $a9910811449203321
996   $aA New Risk Indicator and Stress Testing Tool$94067105
997   $aUNINA