Recovery Risk in Credit Default Swap Premia e-bog
436,85 DKK
(inkl. moms 546,06 DKK)
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.
E-bog
436,85 DKK
Forlag
Gabler Verlag
Udgivet
18 maj 2011
Genrer
Finance and the finance industry
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9783834966667
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.