| 书目名称 | Recovery Risk in Credit Default Swap Premia | | 编辑 | Timo Schläfer | | 视频video | | | 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 |
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发表于 2025-3-21 19:13:26
