Timo Schläfer

Recovery Risk in Credit Default Swap Premia (eBook, PDF)

• Format: PDF

Produktbeschreibung

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties around decomposing the expected loss. 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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Produktdetails

• Verlag: Gabler Verlag
• Seitenzahl: 112
• Erscheinungstermin: 18. Mai 2011
• Englisch
• ISBN-13: 9783834966667
• Artikelnr.: 44221018

Autorenporträt

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.

Inhaltsangabe

Aus dem Inhalt:
Recovery Rates under the Physical Probability Measure; Prior Research on the Estimation of Implied Recovery Rates; Loan-Only Credit Default Swaps; A Default-Free Metric of Implied Recovery Rates; The Properties of Implied Recovery Rates; Risk Aversion in Implied Default and Recovery Rates