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Recovery Risk in Credit Default Swap Premia / by Timo Schläfer
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerLink BücherPublisher: Wiesbaden : Gabler Verlag / Springer Fachmedien Wiesbaden GmbH, Wiesbaden, 2011Description: Online-Ressource (XIX, 112p. 21 illus, digital)ISBN:- 9783834966667
- 658.40301
- 332 23
- 332.632
- HD30.23
- HG1-HG9999
- HG6024.A3
Contents:
Summary: 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 dataPPN: PPN: 1650942575Package identifier: Produktsigel: ZDB-2-SBE
Preface; Table of Contents; List of Figures; List of Tables; List of Abbreviations; List of Symbols; 1 Introduction; 2 Related Literature; 2.1 Characteristics of Physical Recovery Rates; 2.2 On the Estimation of Implied Recovery Rates; 2.2.1 The Identification Problem; 2.2.2 A Review of Earlier Studies; 3 A New Approach to Estimating Market-Implied Recovery Rates; 3.1 A Default-Free Metric of Implied Recovery; 3.2 The Link to Capital Structure; 3.3 The Implied Probability Distribution of Recovery; 4 A Review of Appropriable Credit Derivatives; 4.1 Credit Default Swaps on Corporate Debt
4.2 Leveraged Loans and Bonds4.2.1 Origination, Information, and Transferability; 4.2.2 The Structure of Leveraged Loans; 4.2.3 Collateral and Covenants; 4.2.4 Coupons and Prepayment; 4.3 Standard Terms of Single-Name Credit Default Swaps; 4.3.1 Framework Documentation; 4.3.2 Investors' Requirements; 4.3.3 Reference Entity and Reference Obligation; 4.3.4 Contract Cancellation; 4.3.5 Credit Events; 4.4 Key Topics Revisited; 5 Implementation and Results; 5.1 Data and Descriptive Statistics; 5.1.1 Construction of Samples; 5.1.2 Credit Default Swap Premia; 5.1.3 Capital Structure Data
5.2 Empirical Specification5.2.1 The Ratio of Premia; 5.2.2 Linking the Implied Distribution to Economic Factors; 5.2.3 Calibration Results; 5.3 Estimation Results of Market-Implied Recovery Rates; 5.3.1 Implied Firm-Wide and Instrument-Specific Recovery Rates; 5.3.2 The Impact of Debt Cushion; 5.3.3 The Impact of Changes in the Economic Environment; 5.3.4 The Relation to Ratings; 5.4 Robustness; 5.4.1 Alternative Parameterization; 5.4.2 Sample-Specific Calibration; 5.4.3 Risk Aversion in Implied Recovery Rates; 5.5 Application: Deducing the Implied Probability of Default
5.5.1 A Simplistic Approach5.5.2 The Relation to Implied Expected Recovery Rates; 5.5.3 Risk Aversion in the Implied Probability of Default; 6 Conclusion and Outlook; Appendices; A Supremum and Infimum Standard Deviations; A.I Beta Distribution; A.II Transformed Normal Distribution; A.III Quadratic Distribution; B Descriptive Statistics by Firm; C The Variance of Implied Expected Recovery Rates; D Implied Recovery Rates by Firm; E Implied Recovery Rates by Firm - Sample-Specific Calibration; F Implied One-Year Probabilities of Default by Firm; References
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