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02014nam a22004215i 4500 |
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978-3-8349-6666-7 |
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DE-He213 |
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20151204161434.0 |
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cr nn 008mamaa |
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110517s2011 gw | s |||| 0|eng d |
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|a 9783834966667
|9 978-3-8349-6666-7
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|a 10.1007/978-3-8349-6666-7
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|a Schläfer, Timo.
|e author.
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|a Recovery Risk in Credit Default Swap Premia
|h [electronic resource] /
|c by Timo Schläfer.
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|a Wiesbaden :
|b Gabler,
|c 2011.
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|a XIX, 112 p. 21 illus.
|b online resource.
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|a text
|b txt
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|a 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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|a Finance.
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|a Operations research.
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|a Decision making.
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|a Finance.
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|a Finance, general.
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|a Operation Research/Decision Theory.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783834928443
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|u http://dx.doi.org/10.1007/978-3-8349-6666-7
|z Full Text via HEAL-Link
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|a ZDB-2-SBE
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|a Business and Economics (Springer-11643)
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