Recovery Risk in Credit Default Swap Premia - Couverture souple

Schläfer, Timo

 
9783834928443: Recovery Risk in Credit Default Swap Premia
Couverture souple
ISBN 10 : 3834928445 ISBN 13 : 9783834928443
Editeur : Gabler Verlag, 2011

Synopsis

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 Schlafer 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Dr. Timo Schläfer completed his doctoral thesis under the supervision of Prof. Dr. Marliese Uhrig-Homburg at the Chair of Financial Engineering and Derivatives at the Karlsruhe Institute of Technology. He works in the investment banking industry.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Gabler Verlag
Date d'édition
2011
Langue
anglais
ISBN 10 
3834928445
ISBN 13 
9783834928443
Reliure
Broché
Nombre de pages
132
Coordonnées du fabricant
non disponible
Personne responsable
non disponible