| 书目名称 | Recovery Risk in Credit Default Swap Premia |
| 编辑 | Timo Schläfer |
| 视频video | http://file.papertrans.cn/825/824290/824290.mp4 |
| 图书封面 |  |
| 描述 | 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 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. |
| 出版日期 | Book 2011 |
| 关键词 | Credit risk; Default rate; Loan-only credit default swap; Recovery rate; Risk premia |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-8349-6666-7 |
| isbn_softcover | 978-3-8349-2844-3 |
| isbn_ebook | 978-3-8349-6666-7 |
| copyright | Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2011 |
|Archiver|手机版|小黑屋|
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