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 aro...

Descrizione completa

Dettagli Bibliografici
Autore principale: Schläfer, Timo (Autore)
Ente Autore: SpringerLink (Online service)
Natura: Electronic Resource
Lingua:English
Pubblicazione: Wiesbaden Gabler 2011
Soggetti:
Accesso online:Available for University of the Philippines Diliman via SpringerLink. Click here to access