Research Article
Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
Table 1
Systematic factor: index mapping.
| Factor | Index |
| Europe | MSCI EUROPE | Asia | MSCI AC ASIA | North America | MSCI NORTH AMERICA | Latin America | MSCI EM LATIN AMERICA | Middle East and Africa | MSCI FM AFRICA | Pacific | MSCI PACIFIC | Materials | MSCI WRLD/MATERIALS | Consumer products | MSCI WRLD/CONSUMER DISCR | Services | MSCI WRLD/CONSUMER SVC | Financial | MSCI WRLD/FINANCIALS | Industrial | MSCI WRLD/INDUSTRIALS | Government | ITRAXX SOVX GLOBAL LIQUID INVESTMENT GRADE |
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