Titlebook: Recovery Risk in Credit Default Swap Premia; Timo Schl?fer Book 2011 Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2011 Cr

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https://doi.org/10.1007/978-3-8349-6666-7Credit risk; Default rate; Loan-only credit default swap; Recovery rate; Risk premia

faddish

Introduction,at risk, and hence economic capital, by approximately 30%. In its framework documentation on capital measurement and capital standards (Basel II), the Basel Committee on Banking Supervision accordingly demands that recovery estimates “reflect economic downturn conditions where necessary to capture the relevant risks”.

SEVER

A New Approach to Estimating Market-Implied Recovery Rates, function of capital structure information if a functional form for the implied probability distribution of recovery is supposed. Section?3.3 discusses sensible characteristics of the latter and chooses a beta distribution for the further proceeding.

Concerto

Implementation and Results,ime. This allows it to construct suitable sets of historical premia for the implementation of the approach. Further, issuers’ capital structure is analyzed such that the priority of claims can be accounted for.

Biguanides

Book 2011 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.

Salivary-Gland

Insensate

Book 2011tagion 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 Schl?fer exploits the fact that differently-ranking debt instruments of the same issuer face identical default

neurologist

k, 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 Schl?fer exploits the fact that differently-ranking debt instruments of the same issuer face identic

COWER

Introduction,s and rising default rates, recovery rates tend to be particularly low. This has important ramifications for credit risk management and stress testing: Altman, Brady, Resti, and Sironi (2005) estimate that assuming constant recovery rates or independence from systematic factors underestimates value