WP / A New Risk Indicator and Stress Testing Tool : A Multifactor nth-to-Default CDS Basket

@inproceedings{Avesani2006WPA,
  title={WP / A New Risk Indicator and Stress Testing Tool : A Multifactor nth-to-Default CDS Basket},
  author={Renzo G. Avesani and Antonio Garc{\'i}a Pascual and Jing Li},
  year={2006}
}
This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default… CONTINUE READING

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