Skip to main content
SpringerLink
Log in
Book cover

Recovery Risk in Credit Default Swap Premia

  • Book
  • © 2011

Overview

Authors:
  1. Timo Schläfer
    View author publications

    You can also search for this author in PubMed   Google Scholar

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (6 chapters)

  1. Front Matter

    Pages I-xix
    Download chapter PDF

  2. Introduction

    • Timo Schläfer
    Pages 1-4

  3. Related Literature

    • Timo Schläfer
    Pages 5-17

  4. A New Approach to Estimating Market-Implied Recovery Rates

    • Timo Schläfer
    Pages 19-25

  5. A Review of Appropriable Credit Derivatives

    • Timo Schläfer
    Pages 27-50

  6. Implementation and Results

    • Timo Schläfer
    Pages 51-86

  7. Conclusion and Outlook

    • Timo Schläfer
    Pages 87-89

  8. Back Matter

    Pages 91-112
    Download chapter PDF
Back to top

Keywords

About this book

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.

About the author

Dr. Timo Schläfer completed his doctoral thesis under the supervision of Prof. Dr. Marliese Uhrig-Homburg at the Chair of Financial Engineering and Derivatives at the Karlsruhe Institute of Technology. He works in the investment banking industry.

Bibliographic Information

  • Book Title: Recovery Risk in Credit Default Swap Premia

  • Authors: Timo Schläfer

  • DOI: https://doi.org/10.1007/978-3-8349-6666-7

  • Publisher: Gabler Verlag Wiesbaden

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2011

  • Softcover ISBN: 978-3-8349-2844-3Published: 05 April 2011

  • eBook ISBN: 978-3-8349-6666-7Published: 18 May 2011

  • Edition Number: 1

  • Number of Pages: XIX, 112

  • Number of Illustrations: 21 b/w illustrations

  • Topics: Finance, general, Operations Research/Decision Theory

Publish with us

Policies and ethics

Back to top

Search

Navigation