TY  - BOOK
AU  - Lu,Yinqiu
AU  - Chan-Lau,Jorge A.
AU  - Lu,Yinqiu
TI  - Idiosyncratic and Systemic Risk in the European Corporate Sector: A CDO Perspective 
T2  - IMF Working Papers; Working Paper
SN  - 1451863675 :
SN  - 1018-5941
PY  - 2006///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Collateralized Debt Obligations
KW  - imf
KW  - Correlation
KW  - Credit Derivatives Indices
KW  - Credit Derivatives
KW  - Financial Assets
KW  - Hedge
KW  - United States
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/03229-9781451863673/03229-9781451863673/03229-9781451863673.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451863673
ER  -