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A New Risk Indicator and Stress Testing Tool : : A Multifactor Nth-to-Default CDS Basket / / Renzo Avesani, Jing Li, Antonio Garcia Pascual
| 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 |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (25 p.) |
| Altri autori (Persone) |
LiJing
Garcia PascualAntonio |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk management
Economic indicators Banks and Banking Econometrics Investments: Derivatives Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Banks Depository Institutions Micro Finance Institutions Mortgages Classification Methods Cluster Analysis Principal Components Factor Models Monetary economics Finance Banking Econometrics & economic statistics Credit default swap Credit CDOs Factor models Derivative securities Banks and banking Econometric models |
| 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 | eng |
| 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"" |
| Record Nr. | UNINA-9910788417303321 |
Avesani Renzo
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A New Risk Indicator and Stress Testing Tool : : A Multifactor Nth-to-Default CDS Basket / / Renzo Avesani, Jing Li, Antonio Garcia Pascual
| 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 |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (25 p.) |
| Altri autori (Persone) |
LiJing
Garcia PascualAntonio |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk management
Economic indicators Banks and Banking Econometrics Investments: Derivatives Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Banks Depository Institutions Micro Finance Institutions Mortgages Classification Methods Cluster Analysis Principal Components Factor Models Monetary economics Finance Banking Econometrics & economic statistics Credit default swap Credit CDOs Factor models Derivative securities Banks and banking Econometric models |
| 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 | eng |
| 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"" |
| Record Nr. | UNINA-9910811449203321 |
|
Avesani Renzo
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||