Recovery Swaps
Pricing of Securities
2010-01-07 v1
Authors:
Arthur M. Berd
Abstract
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.
Cite
@article{arxiv.1001.0783,
title = {Recovery Swaps},
author = {Arthur M. Berd},
journal= {arXiv preprint arXiv:1001.0783},
year = {2010}
}
Comments
9 pages, 2 figures
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