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- Author: Timo Schläfer
- Publisher: Gabler Verlag
- Year: 2011
- Pages: 112
- ISBN-10: 3834928445
- ISBN-13: 9783834928443
- Format: 14.8 x 21 x 0.7 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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Description
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.
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- Author: Timo Schläfer
- Publisher: Gabler Verlag
- Year: 2011
- Pages: 112
- ISBN-10: 3834928445
- ISBN-13: 9783834928443
- Format: 14.8 x 21 x 0.7 cm, minkšti viršeliai
- Language: English English
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.
Reviews