Recovery Risk in Credit Default Swap Premia

Name: Recovery Risk in Credit Default Swap Premia
Author: Timo Schläfer

Specificaties

Paperback, 112 blz. | Engels

Gabler Verlag | 2011e druk, 2011

ISBN13: 9783834928443

Rubricering

Gabler Verlag 2011e druk, 2011 9783834928443

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Samenvatting

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.

Specificaties

ISBN13:9783834928443

Taal:Engels

Bindwijze:paperback

Aantal pagina's:112

Uitgever:Gabler Verlag

Druk:2011

Hoofdrubriek:Financieel management

Inhoudsopgave

Recovery Rates under the Physical Probability Measure; Prior Research on the Estimation of Implied Recovery Rates; Loan-Only Credit Default Swaps; A Default-Free Metric of Implied Recovery Rates; The Properties of Implied Recovery Rates; Risk Aversion in Implied Default and Recovery Rates<br>