000			01902nam a22003735i 4500
001			u377147
003			SIRSI
005			20160812084448.0
007			cr nn 008mamaa
008			110517s2011 gw | s |||| 0|eng d
020			_a9783834966667 _9978-3-8349-6666-7
040			_cMX-MeUAM
050		4	_aHD30.23
082	0	4	_a658.40301 _223
100	1		_aSchläfer, Timo. _eauthor.
245	1	0	_aRecovery Risk in Credit Default Swap Premia _h[recurso electrónico] / _cby Timo Schläfer.
264		1	_aWiesbaden : _bGabler, _c2011.
300			_aXIX, 112p. 21 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
520			_aThe 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.
650		0	_aEconomics.
650	1	4	_aEconomics/Management Science.
650	2	4	_aOperations Research/Decision Theory.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783834928443
856	4	0	_zLibro electrónico _uhttp://148.231.10.114:2048/login?url=http://link.springer.com/book/10.1007/978-3-8349-6666-7
596			_a19
942			_cLIBRO_ELEC
999			_c205027 _d205027