Autorenfreundlich Bücher kaufen?!
Beschreibung
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.
Details
| Verlag | Betriebswirtschaftlicher Verlag Gabler |
| Ersterscheinung | 05. April 2011 |
| Maße | 21 cm x 14.8 cm |
| Gewicht | 202 Gramm |
| Format | Softcover |
| ISBN-13 | 9783834928443 |
| Auflage | 2011 |
| Seiten | 112 |
Bekannt durch
