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Recovery Risk in Credit Default Swap Premia

Recovery Risk in Credit Default Swap Premia

Timo Schläfer

71,26 €
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Editorial:
Springer Nature B.V.
Año de edición:
2011
Materia
Finanzas
ISBN:
9783834928443
71,26 €
IVA incluido
Disponible

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Sobre IBD

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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