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...
| Autore principale: | |
|---|---|
| Ente Autore: | |
| 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 |