A New Risk Indicator and Stress Testing Tool : : A Multifactor Nth-to-Default CDS Basket / / Renzo Avesani, Jing Li, Antonio Garcia Pascual

• Autore: Avesani Renzo
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (25 p.)
• Soggetto topico: Risk management; Economic indicators; Banking; Banks and Banking; Banks and banking; Banks; Cdos; Classification Methods; Cluster Analysis; Credit default swap; Credit; Depository Institutions; Derivative securities; Econometric models; Econometrics & economic statistics; Econometrics; Factor Models; Factor models; Finance; Financial Instruments; Institutional Investors; Investments: Derivatives; Micro Finance Institutions; Monetary economics; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; Money and Monetary Policy; Mortgages; Non-bank Financial Institutions; Pension Funds; Principal Components
• Soggetto geografico: United States
• Altri autori: Garcia PascualAntonio LiJing
• Note generali: "April 2006".
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""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""
• Sommario/riassunto: 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.
• Titolo autorizzato: A New Risk Indicator and Stress Testing Tool
• ISBN: 1-4623-0541-5; 1-4527-9151-1; 1-283-51254-8; 1-4519-0899-7; 9786613824998
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910811449203321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/105