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Recovery Risk in Credit Default Swap Premia Timo Schlafer 2011 edition
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Recovery Risk in Credit Default Swap Premia
Timo Schlafer
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.
112 pages, 21 black & white illustrations, 15 black & white tables, biography
| Media | Books Paperback Book (Book with soft cover and glued back) |
| Released | April 5, 2011 |
| ISBN13 | 9783834928443 |
| Publishers | Springer Fachmedien Wiesbaden |
| Pages | 112 |
| Dimensions | 148 × 210 × 7 mm · 167 g |
| Language | English German |
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