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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.

3 nodes2 linksoverview mapRecovery Swaps
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Recovery Swaps3 visible / 3 total nodes / 2 links
AuthorshipTopic signalWRecovery Swapspreprint / 2010AArthur M. BerdResearcherTq-fin.PR204 works
PaperSignal 102 links

Recovery Swaps

preprint / 2010

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