A new risk indicator and stress testing tool : a multifactor Nth-to-Default CDS basket

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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Bibliographic Details
Main Authors: Avesani, Renzo G. (Author), Garcia Pascual, Antonio (Author), Li, Jing (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2006.
Series:IMF working paper ; WP/06/105.
Subjects:
Risk management.
Economic indicators.
Default (Finance) > Econometric models.
Capital market > Econometric models.
risk management.
Default (Finance) > Econometric models
Capital market > Econometric models
Economic indicators
Risk management
Online Access:Click for online access
Table of Contents:
  • 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

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