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Lu, Yinqiu.

Idiosyncratic and Systemic Risk in the European Corporate Sector A CDO Perspective / Yinqiu Lu. [electronic resource] : Yinqiu Lu. - Washington, D.C. : International Monetary Fund, 2006. - 1 online resource (18 p.) - IMF Working Papers; Working Paper ; No. 06/107 . - IMF Working Papers; Working Paper ; No. 06/107 .

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.

ISBN: 1451863675 : 15.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781451863673.001 doi

Subjects--Topical Terms:
Collateralized Debt Obligations
Correlation
Credit Derivatives Indices
Credit Derivatives
Financial Assets
Hedge

Subjects--Geographic Terms:
United States