Recovery Risk in Credit Default Swap Premia

• Main Author: Schläfer, Timo (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Gabler, 2011.
• Subjects: Finance.; Operations research.; Decision making.; Finance, general.; Operation Research/Decision Theory.

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...