Idiosyncratic and systemic risk in the European corporate sector : CDO perspective / / prepared by Jorge A. Chan-Lau and Yinqiu Lu

• Autore: Chan-Lau Jorge A
• Pubblicazione: [Washington, D.C.], : International Monetary Fund, 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (18 p.)
• Soggetto topico: Financial risk - Europe; Credit derivatives - Europe
• Altri autori: LuYinqiu
• Note generali: "April 2006."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""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""
• Sommario/riassunto: 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.
• Titolo autorizzato: Idiosyncratic and systemic risk in the European corporate sector
• ISBN: 1-4623-4072-5; 1-4519-9642-X; 1-283-51193-2; 9786613824387; 1-4519-0901-2
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910808811903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/06/107.