Recovery Risk in Credit Default Swap Premia: 2011 by Timo Schlafer (Paperback, 2011)

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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.