New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket
| Year of publication: |
2006
|
|---|---|
| Authors: | Garcia Pascual, Antonio |
| Other Persons: | Avesani, Renzo G (contributor) ; Li, Jing (contributor) |
| Publisher: |
Washington : International Monetary Fund |
| Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk |
| Extent: | 1 online resource (25 pages) |
|---|---|
| Series: | IMF working paper ; WP/06/105 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Description based on publisher supplied metadata and other sources. ""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"" |
| ISBN: | 978-1-4519-0899-2 ; 978-1-4518-6365-9 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012691123