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Recovery Risk in Credit Default Swap Premia
Timo Schlafer
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Description for Recovery Risk in Credit Default Swap Premia
Paperback. 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." Num Pages: 112 pages, 21 black & white illustrations, 15 black & white tables, biography. BIC Classification: KFF; KJT. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 7. Weight in Grams: 170.
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.
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.
Product Details
Format
Paperback
Publication date
2011
Publisher
Springer Fachmedien Wiesbaden Germany
Number of pages
112
Condition
New
Number of Pages
112
Place of Publication
Wiesbaden, Germany
ISBN
9783834928443
SKU
V9783834928443
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Timo Schlafer
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.
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