Recovery Risk in Credit Default Swap Premia

Paperback Engels 2011 2011e druk 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

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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>

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        Recovery Risk in Credit Default Swap Premia