Idiosyncratic and Systemic Risk in the European Corporate Sector : a CDO Perspective

Idiosyncratic and Systemic Risk in the European Corporate Sector : a CDO Perspective / Lu, Yinqiu.

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 advan...

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Bibliographic Details
Main Author: Lu, Yinqiu
Corporate Author: International Monetary Fund
Other Authors: Chan-Lau, Jorge A.
Format: eBook
Language:English
Published: Washington, D.C. : International Monetary Fund, 2006.
Series:IMF Working Papers ; Working Paper no. 06/107.
Subjects:
Financial risk > Europe.
Credit derivatives > Europe.
Credit derivatives
Financial risk
Europe
Online Access:Click for online access
Description
Summary: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.
Item Description:Available in PDF, ePUB, and Mobi formats on the Internet.
Physical Description:1 online resource (18 pages)
ISBN:1451909012
9781451909012
ISSN:2227-8885 ;

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