Recovery Risk in Credit Default Swap Premia

Recovery Risk in Credit Default Swap Premia
Author: Timo Schläfer
Publisher: Springer Science & Business Media
Total Pages: 124
Release: 2011-05-18
Genre: Business & Economics
ISBN: 3834966665
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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.


Recovery Risk in Credit Default Swap Premia
Language: en
Pages: 124

Recovery Risk in Credit Default Swap Premia

Authors: Timo Schläfer
Categories: Business & Economics
Type: BOOK - Published: 2011-05-18 - Publisher: Springer Science & Business Media

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Timo Schläfer exploits the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional reco
Credit Default Swap Spreads and Variance Risk Premia (VRP)
Language: en
Pages: 43

Credit Default Swap Spreads and Variance Risk Premia (VRP)

Authors: Hao Wang
Categories: Reference
Type: BOOK - Published: 2011-04 - Publisher: DIANE Publishing

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Credit Default Swaps - Pricing, Valuation and Investment Applications
Language: en
Pages: 61

Credit Default Swaps - Pricing, Valuation and Investment Applications

Authors: Panagiotis Papadopoulos
Categories: Business & Economics
Type: BOOK - Published: 2011-04 - Publisher: GRIN Verlag

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Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School)
Credit Default Swaps
Language: en
Pages: 356

Credit Default Swaps

Authors: Christopher L. Culp
Categories: Business & Economics
Type: BOOK - Published: 2018-07-12 - Publisher: Springer

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This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of mark
The Pricing of Credit Default Swaps During Distress
Language: en
Pages: 30

The Pricing of Credit Default Swaps During Distress

Authors: Jochen R. Andritzky
Categories: Business & Economics
Type: BOOK - Published: 2006-11 - Publisher: International Monetary Fund

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Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as de