TY  - BOOK
AU  - Schläfer,Timo
ED  - SpringerLink (Online service)
TI  - Recovery Risk in Credit Default Swap Premia
SN  - 9783834966667
AV  - HD30.23 
U1  - 658.40301 23
PY  - 2011///
CY  - Wiesbaden
PB  - Gabler
KW  - Economics
KW  - Economics/Management Science
KW  - Operations Research/Decision Theory
N2  - 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
UR  - http://148.231.10.114:2048/login?url=http://link.springer.com/book/10.1007/978-3-8349-6666-7
ER  -