European Parliament Library

Idiosyncratic and Systemic Risk in the European Corporate Sector :, A CDO Perspective, Yinqiu Lu, Jorge Chan-Lau

Creator
Contributor
Abstract
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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS""; ""III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS""; ""IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES""; ""V. DATA AND EMPIRICAL FRAMEWORK""; ""VI. RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
"April 2006."
Physical Description
1 online resource (18 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781283511933

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