A new risk indicator and stress testing tool [electronic resource] : a multifactor Nth-to-Default CDS basket / prepared by Renzo G. Avesani, Antonio García Pascal, and Jing Li.

By: Contributor(s): Material type: TextTextSeries: IMF working paper ; WP/06/105.Publication details: [Washington, D.C.] : International Monetary Fund, c2006.Description: 23 pSubject(s): Genre/Form: LOC classification:
  • HD61 .A84 2006eb
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"April 2006".

Includes bibliographical references.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2011. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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