Verfügbarkeit: A New Risk Indicator and Stress Testing tool

A New Risk Indicator and Stress Testing tool: A Multifactor Nth-to-Default CDS Basket

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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1. Verfasser:	Avesani, Renzo G. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2006
Schriftenreihe:	IMF Working Papers Working Paper No. 06/105
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (25 p)
ISBN:	1451863659 9781451863659

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spelling	Avesani, Renzo G. Verfasser aut A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket Avesani, Renzo G Washington, D.C International Monetary Fund 2006 1 Online-Ressource (25 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 06/105 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 Online-Ausg Garcia Pascual, Antonio Sonstige oth Li, Jing Sonstige oth http://elibrary.imf.org/view/IMF001/00078-9781451863659/00078-9781451863659/00078-9781451863659.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Avesani, Renzo G. A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket
title	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket
title_auth	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket
title_exact_search	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket
title_exact_search_txtP	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket
title_full	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket Avesani, Renzo G
title_fullStr	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket Avesani, Renzo G
title_full_unstemmed	A New Risk Indicator and Stress Testing tool A Multifactor Nth-to-Default CDS Basket Avesani, Renzo G
title_short	A New Risk Indicator and Stress Testing tool
title_sort	a new risk indicator and stress testing tool a multifactor nth to default cds basket
title_sub	A Multifactor Nth-to-Default CDS Basket
url	http://elibrary.imf.org/view/IMF001/00078-9781451863659/00078-9781451863659/00078-9781451863659.xml
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