A new risk indicator and stress testing tool
Subtitle: a multifactor Nth-to-default CDS basket
By: prepared by Renzo G. Avesani, Antonio Garcia Pascual, and Jing Li.
Contributors: Garcia Pascual, Antonio.; Li, Jing, 1979-; International Monetary Fund. Monetary and Financial Systems Dept.
Series: IMF working paper -- WP/06/105
Publisher: International Monetary Fund, Monetary and Financial Systems Dept.
Published: 2006
Place of publication: [Washington, D.C.]
Language: eng
Number of pages: 23
Subjects: Default (Finance) -- Econometric models.; Capital market -- Econometric models.
Notes: "April 2006."

Includes bibliographical references.

Also available on the World Wide Web.