Cover Image

Recovery Swaps

We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used in recovery swaps must contain a convexity premium over the expected recovery value.
Year of publication:
2010-01
Authors: Berd, Arthur M.
Institutions: arXiv.org
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in J. of Credit Risk, vol. 1(3), p. 61-70 (2005)
Source:
Persistent link: https://www.econbiz.de/10008478645
Similar items by person