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150128 ||| eng |
020 |
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|a 9781451863673
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100 |
1 |
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|a Lu, Yinqiu
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245 |
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0 |
|a Idiosyncratic and Systemic Risk in the European Corporate Sector
|b A CDO Perspective
|c Yinqiu Lu, Jorge Chan-Lau
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2006
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300 |
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|a 18 pages
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651 |
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4 |
|a United States
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653 |
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|a Government and the Monetary System
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653 |
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|a Payment Systems
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653 |
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|a Institutional Investors
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653 |
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|a Credit
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653 |
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|a Stocks
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653 |
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|a Pension Funds
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653 |
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|a Finance
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653 |
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|a Regimes
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653 |
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|a Monetary economics
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653 |
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|a General Financial Markets: Government Policy and Regulation
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653 |
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|a Financial Instruments
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653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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653 |
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|a Investments: Derivatives
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653 |
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|a Money
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653 |
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|a Derivative securities
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653 |
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|a Non-bank Financial Institutions
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653 |
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|a Standards
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653 |
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|a Systemic risk
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653 |
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|a Cdos
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653 |
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|a Financial risk management
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653 |
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|a Investments: Stocks
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653 |
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|a Currencies
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653 |
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|a Monetary Systems
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653 |
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|a Investment & securities
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653 |
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|a Money and Monetary Policy
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653 |
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|a Finance: General
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700 |
1 |
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|a Chan-Lau, Jorge
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041 |
0 |
7 |
|a eng
|2 ISO 639-2
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989 |
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|b IMF
|a International Monetary Fund
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490 |
0 |
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|a IMF Working Papers
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028 |
5 |
0 |
|a 10.5089/9781451863673.001
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856 |
4 |
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|u https://elibrary.imf.org/view/journals/001/2006/107/001.2006.issue-107-en.xml?cid=19110-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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|a 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
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