LIBROS DEL AUTOR: timo schlafer

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  • Recovery Risk in Credit Default Swap Premia
    Timo Schläfer
    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. ...
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