Recovery Risk in Credit Default Swap Premia:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Gabler
2011
|
| Edition: | 1. Ed. |
| Series: | Gabler Research
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 112 S. 210 mm x 148 mm |
| ISBN: | 9783834928443 3834928445 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804143876376625152 |
|---|---|
| adam_text | IMAGE 1
TABLE OF CONTENTS
1 INTRODUCTION 1
2 RELATED LITERATURE 5
2.1 CHARACTERISTICS OF PHYSICAL RECOVERY RATES 5
2.2 ON THE ESTIMATION OF IMPLIED RECOVERY RATES 8
2.2.1 THE IDENTIFICATION PROBLEM 8
2.2.2 A REVIEW OF EARLIER STUDIES 11
3 A NEW APPROACH TO ESTIMATING MARKET-IMPLIED RECOVERY RATES 19
3.1 A DEFAULT-FREE METRIC OF IMPLIED RECOVERY 19
3.2 THE LINK TO CAPITAL STRUCTURE 21
3.3 THE IMPLIED PROBABILITY DISTRIBUTION OF RECOVERY 23
4 A REVIEW OF APPROPRIABLE CREDIT DERIVATIVES 27
4.1 CREDIT DEFAULT SWAPS ON CORPORATE DEBT 27
4.2 LEVERAGED LOANS AND BONDS 30
4.2.1 ORIGINATION, INFORMATION, AND TRANSFERABILITY 31
4.2.2 THE STRUCTURE OF LEVERAGED LOANS 32
4.2.3 COLLATERAL AND COVENANTS 33
4.2.4 COUPONS AND PREPAYMENT 34
4.3 STANDARD TERMS OF SINGLE-NAME CREDIT DEFAULT SWAPS 35
4.3.1 FRAMEWORK DOCUMENTATION 35
4.3.2 INVESTORS REQUIREMENTS 37
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008893870
DIGITALISIERT DURCH
IMAGE 2
VIII TABLE OF CONTENTS
4.3.3 REFERENCE ENTITY AND REFERENCE OBLIGATION 37
4.3.4 CONTRACT CANCELLATION 40
4.3.5 CREDIT EVENTS 41
4.4 KEY TOPICS REVISITED 46
5 IMPLEMENTATION AND RESULTS 51
5.1 DATA AND DESCRIPTIVE STATISTICS 51
5.1.1 CONSTRUCTION OF SAMPLES 51
5.1.2 CREDIT DEFAULT SWAP PREMIA 53
5.1.3 CAPITAL STRUCTURE DATA 55
5.2 EMPIRICAL SPECIFICATION 58
5.2.1 THE RATIO OF PREMIA 58
5.2.2 LINKING THE IMPLIED DISTRIBUTION TO ECONOMIC FACTORS 60
5.2.3 CALIBRATION RESULTS 64
5.3 ESTIMATION RESULTS OF MARKET-IMPLIED RECOVERY RATES 66
5.3.1 IMPLIED FIRM-WIDE AND INSTRUMENT-SPECIFIC RECOVERY RATES 66
5.3.2 THE IMPACT OF DEBT CUSHION 69
5.3.3 THE IMPACT OF CHANGES IN THE ECONOMIC ENVIRONMENT 71
5.3.4 THE RELATION TO RATINGS 72
5.4 ROBUSTNESS 74
5.4.1 ALTERNATIVE PARAMETERIZATION 74
5.4.2 SAMPLE-SPECIFIC CALIBRATION 76
5.4.3 RISK AVERSION IN IMPLIED RECOVERY RATES 77
5.5 APPLICATION: DEDUCING THE IMPLIED PROBABILITY OF DEFAULT 80
5.5.1 A SIMPLISTIC APPROACH 80
IMAGE 3
TABLE OF CONTENTS IX
5.5.2 THE RELATION TO IMPLIED EXPECTED RECOVERY RATES 83
5.5.3 RISK AVERSION IN THE IMPLIED PROBABILITY OF DEFAULT 84
6 CONCLUSION AND OUTLOOK 87
APPENDICES 91
A SUPREMUM AND INFIMUM STANDARD DEVIATIONS 91
A.I BETA DISTRIBUTION 91
A.II TRANSFORMED NORMAL DISTRIBUTION 92
A.III QUADRATIC DISTRIBUTION 94
B DESCRIPTIVE STATISTICS BY FIRM 97
C THE VARIANCE OF IMPLIED EXPECTED RECOVERY RATES 101
D IMPLIED RECOVERY RATES BY FIRM 102
E IMPLIED RECOVERY RATES BY FIRM - SAMPLE-SPECIFIC CALIBRATION 104
F IMPLIED ONE-YEAR PROBABILITIES OF DEFAULT BY FIRM 106
REFERENCES 107
|
| any_adam_object | 1 |
| author | Schläfer, Timo |
| author_GND | (DE-588)1011453355 |
| author_facet | Schläfer, Timo |
| author_role | aut |
| author_sort | Schläfer, Timo |
| author_variant | t s ts |
| building | Verbundindex |
| bvnumber | BV037258148 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)711842190 (DE-599)DNB1008893870 |
| dewey-full | 332.6457 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6457 |
| dewey-search | 332.6457 |
| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Ed. |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV037258148 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:54:37Z |
| institution | BVB |
| isbn | 9783834928443 3834928445 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-021171333 |
| oclc_num | 711842190 |
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| owner_facet | DE-355 DE-BY-UBR |
| physical | IX, 112 S. 210 mm x 148 mm |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Gabler |
| record_format | marc |
| series2 | Gabler Research |
| spelling | Schläfer, Timo Verfasser (DE-588)1011453355 aut Recovery Risk in Credit Default Swap Premia Timo Schläfer 1. Ed. Wiesbaden Gabler 2011 IX, 112 S. 210 mm x 148 mm txt rdacontent n rdamedia nc rdacarrier Gabler Research Zugl.: Karlsruhe, Inst. of Technology, Diss., 2010 Kreditderivat (DE-588)7660453-6 gnd rswk-swf Börsenkurs (DE-588)4375974-9 gnd rswk-swf Kreditgeschäft (DE-588)4134687-7 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Swap (DE-588)4199581-8 s Kreditgeschäft (DE-588)4134687-7 s Ausfallrisiko (DE-588)4205942-2 s Börsenkurs (DE-588)4375974-9 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021171333&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schläfer, Timo Recovery Risk in Credit Default Swap Premia Kreditderivat (DE-588)7660453-6 gnd Börsenkurs (DE-588)4375974-9 gnd Kreditgeschäft (DE-588)4134687-7 gnd Ausfallrisiko (DE-588)4205942-2 gnd Swap (DE-588)4199581-8 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4375974-9 (DE-588)4134687-7 (DE-588)4205942-2 (DE-588)4199581-8 (DE-588)4113937-9 |
| title | Recovery Risk in Credit Default Swap Premia |
| title_auth | Recovery Risk in Credit Default Swap Premia |
| title_exact_search | Recovery Risk in Credit Default Swap Premia |
| title_full | Recovery Risk in Credit Default Swap Premia Timo Schläfer |
| title_fullStr | Recovery Risk in Credit Default Swap Premia Timo Schläfer |
| title_full_unstemmed | Recovery Risk in Credit Default Swap Premia Timo Schläfer |
| title_short | Recovery Risk in Credit Default Swap Premia |
| title_sort | recovery risk in credit default swap premia |
| topic | Kreditderivat (DE-588)7660453-6 gnd Börsenkurs (DE-588)4375974-9 gnd Kreditgeschäft (DE-588)4134687-7 gnd Ausfallrisiko (DE-588)4205942-2 gnd Swap (DE-588)4199581-8 gnd |
| topic_facet | Kreditderivat Börsenkurs Kreditgeschäft Ausfallrisiko Swap Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021171333&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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