Recovery Risk in Credit Default Swap Premia [recurso electrónico] / by Timo Schläfer.
Tipo de material:
TextoEditor: Wiesbaden : Gabler, 2011Descripción: XIX, 112p. 21 illus. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783834966667Tema(s): Economics | Economics/Management Science | Operations Research/Decision TheoryFormatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD: 658.40301 Clasificación LoC:HD30.23Recursos en línea: Libro electrónico
En: Springer eBooksResumen: The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties around decomposing the expected loss. Timo Schläfer exploits the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery rates. He shows that this allows isolating recovery risk without any of the rigid assumptions employed by priors and implements his approach using credit default swap data.
| Tipo de ítem | Biblioteca actual | Colección | Signatura | Copia número | Estado | Fecha de vencimiento | Código de barras |
|---|---|---|---|---|---|---|---|
| Libro Electrónico | Biblioteca Electrónica | Colección de Libros Electrónicos | HD30.23 (Browse shelf(Abre debajo)) | 1 | No para préstamo | 377147-2001 |
The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties around decomposing the expected loss. Timo Schläfer exploits the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery rates. He shows that this allows isolating recovery risk without any of the rigid assumptions employed by priors and implements his approach using credit default swap data.
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