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 |
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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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