Recovery Risk in Credit Default Swap Premia
Download or Read eBook Recovery Risk in Credit Default Swap Premia PDF written by Timo Schläfer and published by Springer Science & Business Media. This book was released on 2011-05-18 with total page 124 pages. Available in PDF, EPUB and Kindle.
| Author | : Timo Schläfer |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 124 |
| Release | : 2011-05-18 |
| ISBN-10 | : 9783834966667 |
| ISBN-13 | : 3834966665 |
| Rating | : 4/5 (67 Downloads) |
Book Synopsis Recovery Risk in Credit Default Swap Premia by : Timo Schläfer
Book excerpt: 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.
