Recovery Risk in Credit Default Swap Premia
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 aro...
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| Format: | eBook |
| Language: | English |
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Wiesbaden
Gabler Verlag
2011, 2011
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| Edition: | 1st ed. 2011 |
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
| Summary: | 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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| Physical Description: | XIX, 112 p. 21 illus online resource |
| ISBN: | 9783834966667 |