Recovery Risk in Credit Default Swap Premia - Softcover

Schläfer, Timo

Softcover

ISBN 10: 3834928445 ISBN 13: 9783834928443

Verlag: Gabler Verlag, 2011

Inhaltsangabe

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 Schlafer 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.

Über diesen Titel

Über die Autorin bzw. den Autor

Dr. Timo Schläfer completed his doctoral thesis under the supervision of Prof. Dr. Marliese Uhrig-Homburg at the Chair of Financial Engineering and Derivatives at the Karlsruhe Institute of Technology. He works in the investment banking industry.

Von der hinteren Coverseite

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.

Details zur Ausgabe

• Verlag: Gabler Verlag
• Erscheinungsdatum: 2011
• Sprache: Englisch
• ISBN 10: 3834928445
• ISBN 13: 9783834928443
• Einband: Taschenbuch
• Anzahl der Seiten: 132
• Kontakt zum Hersteller: Springer-Verlag GmbH; customerservice@springernature.com; ; Tiergartenstraße 17; Heidelberg; Baden-Württemberg; 69121; Deutschland