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Recovery Risk in Credit Default Swap Premia - Timo Schläfer
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Timo Schläfer:
Recovery Risk in Credit Default Swap Premia - Livres de poche

2014, ISBN: 9783834928443

[ED: Taschenbuch], [PU: Gabler, Betriebswirt.-Vlg], Neuware - 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. -, [SC: 0.00]

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AHA-BUCH GmbH
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Recovery Risk in Credit Default Swap Premia - Timo Schläfer
Livre non disponible
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Timo Schläfer:
Recovery Risk in Credit Default Swap Premia - Livres de poche

2011, ISBN: 9783834928443

[ED: Taschenbuch], [PU: Gabler, Betriebswirt.-Vlg], Neuware - 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., [SC: 0.00]

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Recovery Risk in Credit Default Swap Premia - Timo Schläfer
Livre non disponible
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Timo Schläfer:
Recovery Risk in Credit Default Swap Premia - Livres de poche

2014, ISBN: 9783834928443

[ED: Taschenbuch], [PU: Gabler, Betriebswirt.-Vlg], Neuware - 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., [SC: 0.00]

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Rheinberg-Buch
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Recovery Risk in Credit Default Swap Premia - Timo Schläfer
Livre non disponible
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Timo Schläfer:
Recovery Risk in Credit Default Swap Premia - Livres de poche

2011, ISBN: 9783834928443

[ED: Taschenbuch], [PU: Gabler, Betriebswirt.-Vlg], Neuware - 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., [SC: 0.00]

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Recovery Risk in Credit Default Swap Premia - Timo Schläfer
Livre non disponible
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Timo Schläfer:
Recovery Risk in Credit Default Swap Premia - Livres de poche

2011, ISBN: 9783834928443

ID: 17230564

[ED: 2011], Softcover, Buch, [PU: Betriebswirtschaftlicher Verlag Gabler]

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Recovery Risk in Credit Default Swap Premia

: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.

Informations détaillées sur le livre - Recovery Risk in Credit Default Swap Premia


EAN (ISBN-13): 9783834928443
ISBN (ISBN-10): 3834928445
Version reliée
Livre de poche
Date de parution: 2011
Editeur: Gabler, Betriebswirt.-Vlg
112 Pages
Poids: 0,202 kg
Langue: eng/Englisch

Livre dans la base de données depuis 25.08.2008 10:36:19
Livre trouvé récemment le 08.02.2015 21:29:40
ISBN/EAN: 9783834928443

ISBN - Autres types d'écriture:
3-8349-2844-5, 978-3-8349-2844-3


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