Capa

RECOVERY RISK IN CREDIT DEFAULT SWAP PREMIA IBD

GABLER VERLAG
04 / 2011
9783834928443
Inglês

Sinopse

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.