A New Risk Indicator and Stress Testing tool: A Multifactor Nth-to-Default CDS Basket-Reference-Cited by-同舟云学术

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

Published:2006 Issue:105 Volume:06 Page:1
ISSN:1018-5941
Container-title:IMF Working Papers
language:en
Short-container-title:

Author:

Avesani Renzo G.,Li Jing,Garcia Pascual Antonio, , ,

Publisher

International Monetary Fund (IMF)

Subject

General Medicine

Reference12 articles.

1. Valuation of a CDO and an Nth -to-default CDS Without Monte Carlo Simulation;Hull;Journal of Derivatives,2005

2. All Your Hedges in One Basket;Andersen;Risk,2003

3. Tests of Significance in Factor Analysis;Bartlett;British Journal of Psychology,1950

4. The Pricing of Options and Corporate Liabilities;Black;Journal of Political Economy,1973

5. Probability of Loss on Loan Portfolio;Vasicek;KMV Working Paper,1987

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