rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Recovery Risk in Credit Default Swap Premia
  name:
    name part: Schläfer, Timo.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2011
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIX, 112 p. 21 illus. online resource.
  abstract: 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.
  note: by Timo Schläfer.
  subject:
    topic: Finance
  subject:
    topic: Operations research
  subject:
    topic: Decision making
  subject:
    topic: Finance
  subject:
    topic: Finance, general
  subject:
    topic: Operation Research/Decision Theory
  classification: HG1-HG9999
  classification: 332
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783834966667
  identifier: http://dx.doi.org/10.1007/978-3-8349-6666-7
  record info:
    record creation date: 110517
    record change date: 20151204161434.0
    record identifier: 978-3-8349-6666-7