Recovery Risk in Credit Default Swap Premia - Paperback - 2011

"Timo Schlafer 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.""
Year of publication: 2011
Pagination: 112 pages, 21 black & white illustrations, 15 black & white tables, biography
Format: Paperback"