摘要翻译:
我们推导了恢复掉期利率、数字违约掉期息差和传统CDS息差之间的无套利关系,并论证了恢复掉期中使用的公平远期回收率必须包含高于预期恢复值的凸性溢价。
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英文标题:
《Recovery Swaps》
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作者:
Arthur M. Berd
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
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.
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PDF链接:
https://arxiv.org/pdf/1001.0783