01805cas a2200253 a 4500 AALejournalIMF004133 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451863673 1018-5941 BD-DhAAL BD-DhAAL Lu, Yinqiu. Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective / Yinqiu Lu, Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (18 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in advance. In this paper, we explain how to construct idiosyncratic and systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations (STCDOs) referencing credit derivatives indices. As an illustration, both risk indicators are constructed for the European corporate sector using midprice quotes for STCDOs referencing the iTraxx Europe index. Mode of access: Internet Chan-Lau, Jorge. IMF Working Papers; Working Paper ; No. 2006/107 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/107/001.2006.issue-107-en.xml IMF e-Library