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Recovery Risk in Credit Default Swap Premia

Recovery Risk in Credit Default Swap Premia

Description

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.

Keywords

Business & EconomicsFinanceOperations Research

2011Book

Author(s)Timo Schl Fer

PublisherGabler Verlag

ISBN9783834928443

LanguageEnglish

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