Recovery Risk in Credit Default Swap Premia (PDF)
(Sprache: Englisch)
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...
sofort als Download lieferbar
eBook (pdf)
Fr. 59.00
inkl. MwSt.
- Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Recovery Risk in Credit Default Swap Premia (PDF)“
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.
Autoren-Porträt von Timo Schläfer
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.
Bibliographische Angaben
- Autor: Timo Schläfer
- 2011, 2011, 112 Seiten, Englisch
- Verlag: Gabler, Betriebswirt.-Vlg
- ISBN-10: 3834966665
- ISBN-13: 9783834966667
- Erscheinungsdatum: 18.05.2011
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Grösse: 1.18 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
Kommentar zu "Recovery Risk in Credit Default Swap Premia"
0 Gebrauchte Artikel zu „Recovery Risk in Credit Default Swap Premia“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Recovery Risk in Credit Default Swap Premia".
Kommentar verfassen