降级
系统性风险
信贷紧缩
信用风险
信用评估调整
信用衍生工具
业务
信用增级
信用记录
信用评级
信用违约掉期
结构性融资
资信证明
金融体系
金融危机
经济
货币经济学
金融经济学
精算学
宏观经济学
计算机科学
计算机安全
作者
Vineer Bhansali,Robert M. Gingrich,Francis A. Longstaff
摘要
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.
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