{"product_id":"recovery-risk-in-credit-default-swap-premia-von-timo-schlafer","title":"Recovery Risk in Credit Default Swap Premia","description":"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.\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783834928443\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783834928443","offer_id":40562965413981,"sku":"9783834928443","price":53.49,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/576a4be5-1b2f-49c1-be64-ef9c5cc0c9f5.jpg?v=1775712865","url":"https:\/\/shop.autorenwelt.de\/products\/recovery-risk-in-credit-default-swap-premia-von-timo-schlafer","provider":"Autorenwelt Shop","version":"1.0","type":"link"}