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Recovery Risk in Credit Default Swap Premia
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Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 2 Artikel!
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| 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. |
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i.d.R. innert 7-14 Tagen versandfertig
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