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