A new risk indicator and stress testing tool : a multifactor Nth-to-Default CDS basket / prepared by Renzo G. Avesani, Antonio García Pascual, and Jing Li.
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 l...
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