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Systemic credit risk: what is the market telling us?

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The ongoing subprime crisis raises many concerns about the possibility of even more widespread credit shocks. We describe a simple linear version of a sophisticated model that can be used to extract information about macroeconomic credit risk from the prices of tranches of liquid credit indices. The market appears to price three types of credit risk: idiosyncratic risk at the level of individual companies, sectorwide risk at the level of companies within an industry, and economywide or systemic risk. We applied the model to the recent behavior of tranches in the U.S. and European credit derivatives markets and show that the current crisis has more than twice the systemic risk of the automotive-downgrade credit crisis of May 2005..Printed journal

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Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	CFA Institute.,
Edisi	-
Subjek	Mathematical models Credit risk Derivatives Securities Markets studies Subprime lending
ISBN/ISSN	0015198X
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data