Recovery Risk in Credit Default Swap Premia (Record no. 108774)
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000 -LEADER | |
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fixed length control field | 01948nam a22003975i 4500 |
001 - CONTROL NUMBER | |
control field | 978-3-8349-6666-7 |
003 - CONTROL NUMBER IDENTIFIER | |
control field | DE-He213 |
005 - DATE AND TIME OF LATEST TRANSACTION | |
control field | 20140220083820.0 |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
fixed length control field | cr nn 008mamaa |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 110517s2011 gw | s |||| 0|eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9783834966667 |
-- | 978-3-8349-6666-7 |
024 7# - OTHER STANDARD IDENTIFIER | |
Standard number or code | 10.1007/978-3-8349-6666-7 |
Source of number or code | doi |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
Classification number | HD30.23 |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | KJT |
Source | bicssc |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | KJMD |
Source | bicssc |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | BUS049000 |
Source | bisacsh |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 658.40301 |
Edition number | 23 |
100 1# - MAIN ENTRY--PERSONAL NAME | |
Personal name | Schläfer, Timo. |
Relator term | author. |
245 10 - TITLE STATEMENT | |
Title | Recovery Risk in Credit Default Swap Premia |
Medium | [electronic resource] / |
Statement of responsibility, etc | by Timo Schläfer. |
264 #1 - | |
-- | Wiesbaden : |
-- | Gabler, |
-- | 2011. |
300 ## - PHYSICAL DESCRIPTION | |
Extent | XIX, 112p. 21 illus. |
Other physical details | online resource. |
336 ## - | |
-- | text |
-- | txt |
-- | rdacontent |
337 ## - | |
-- | computer |
-- | c |
-- | rdamedia |
338 ## - | |
-- | online resource |
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-- | rdacarrier |
347 ## - | |
-- | text file |
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-- | rda |
520 ## - SUMMARY, ETC. | |
Summary, etc | 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. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Economics. |
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Economics/Management Science. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Operations Research/Decision Theory. |
710 2# - ADDED ENTRY--CORPORATE NAME | |
Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
773 0# - HOST ITEM ENTRY | |
Title | Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
Display text | Printed edition: |
International Standard Book Number | 9783834928443 |
856 40 - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-8349-6666-7 |
912 ## - | |
-- | ZDB-2-SBE |
No items available.