Recovery Risk In Credit Default Swap Premia
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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.
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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