Recovery Risk in Credit Default Swap Premia
Author:   Timo Schläfer
Publisher:   Gabler
Edition:   2011 ed.
ISBN:  

9783834928443


Pages:   112
Publication Date:   05 April 2011
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Recovery Risk in Credit Default Swap Premia


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Overview

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.

Full Product Details

Author:   Timo Schläfer
Publisher:   Gabler
Imprint:   Gabler
Edition:   2011 ed.
Dimensions:   Width: 14.80cm , Height: 0.70cm , Length: 21.00cm
Weight:   0.202kg
ISBN:  

9783834928443


ISBN 10:   3834928445
Pages:   112
Publication Date:   05 April 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.
Language:   English

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Author Information

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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