Recovery Risk in Credit Default Swap Premia (e-bog) af Schlafer, Timo
Schlafer, Timo (forfatter)

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
Forfattere Schlafer, Timo (forfatter)
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.