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Recovery Risk in Credit Default Swap Premia

Recovery Risk in Credit Default Swap Premia

Paperback

Business GeneralInvesting & Finance

ISBN10: 3834928445
ISBN13: 9783834928443
Publisher: Gabler Verlag
Published: Apr 5 2011
Pages: 112
Weight: 0.37
Height: 0.29 Width: 5.83 Depth: 8.27
Language: English
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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