TY  - RPRT
AU  - Chamizo Cana, Álvaro
AU  - Novales Cinca, Alfonso Santiago
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17514
AB  - We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS spreads using the information provided by the default-related component of observed spreads. These are previ- ously estimated using Pan and Singleton (2008) methodology....
LA  - eng
A3  - Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Credit Risk
KW  - Systemic Risk
KW  - Idiosyncratic Risk
KW  - Stress Tests
KW  - Factor Models
KW  - Market Pricing.
TI  - Looking through systemic credit risk: determinants, stress testing and market value
TY  - technical report
VL  - 2019
ER  -