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The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1 »

Source: The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

Volume/Issue: 2006/139

Series: IMF Working Papers

Author(s): Li Ong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863994

Keywords: CDO, CDS, credit derivatives, credit risk transfer, structured credit products, credit risk, hedge, financial institutions, risk transfer, General Financial Markets: Government Policy and Regulation,

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in...

A New Risk Indicator and Stress Testing Tool

A New Risk Indicator and Stress Testing Tool »

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

Volume/Issue: 2006/105

Series: IMF Working Papers

Author(s): Renzo Avesani , Jing Li , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863659

Keywords: market indicators, credit default swap (CDS), collateralized debt obligation (CDO), large complex financial institutions (LCFIs), probability, correlation, probabilities, correlations, probability of default,

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)...

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions »

Volume/Issue: 2006/139

Series: IMF Working Papers

Author(s): Li Ong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

DOI: http://dx.doi.org/10.5089/9781451863994.001

ISBN: 9781451863994

Keywords: CDO, CDS, credit derivatives, credit risk transfer, structured credit products, credit risk, hedge, financial institutions, risk transfer, General Financial Markets: Government Policy and Regulation,

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in...

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

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

Volume/Issue: 2006/105

Series: IMF Working Papers

Author(s): Renzo Avesani , Jing Li , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863659.001

ISBN: 9781451863659

Keywords: market indicators, credit default swap (CDS), collateralized debt obligation (CDO), large complex financial institutions (LCFIs), probability, correlation, probabilities, correlations, probability of default,

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)...