The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic re-covery rates as a source of systematic risk have not received much attention so far, most likely due to the...

Loan-Only Credit Default Swaps (LCDSs) are a new type of over-the-counter credit derivative that has emerged fairly recently. LCDSs share the purpose of Credit Default Swaps (CDSs) in that they allow trading the credit risk associated with some debt obligation. They have closed a gap that had...

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties...