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...
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| 格式: | Electronic Resource |
| 語言: | English |
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Wiesbaden
Gabler
2011
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| 在線閱讀: | Available for University of the Philippines Diliman via SpringerLink. Click here to access |