Recovery Risk in Credit Default Swap Premia
Recovery Risk in Credit Default Swap Premia
Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783834928443
Condition
New
Product Description
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 Schlfer 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.
Available Colors
Available Sizes
1 Offer
Price Range: $39.99 - $39.99
Price Comparison
Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
---|---|---|---|---|---|---|---|---|---|---|
BEST PRICE 1 Product Purchase
|
$39.99 | $39.99 |
|
$39.99 | See Site | In stock | Visit Store |