New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket.
Title:
New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket.
Author:
Garcia Pascual, Antonio.
ISBN:
9781451908992
Personal Author:
Physical Description:
1 online resource (25 pages)
Series:
IMF Working Papers
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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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