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

A Multifactor Nth-to-Default CDS Basket

A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket
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) basket of large complex financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the... READ MORE...

Publication date: April 2006
ISBN 9781451863659
$15.00

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