EDIT: Actually, I'm wrong about my assertion that it's pretty much silver painted onto steel or something. It was something I read a long time ago on UESP. A better source is the Manual of Arms, which seems to make it a weapon entirely made out of silver, but notes it is much less durable. Here's the quote,
Some armorers correctly observe that silver weapons are slightly less durable than steel; nonetheless, its unique ability to affect ghosts, wraiths and certain types of Daedric creatures is undisputed.
However, I still find that to be a bit bogus, as silver IRL (yeah, I know) would be quite the bad weapon, and would be extremely expensive. The idea that it's silver plated or painted on a cheaper metallic weapon sounds more reasonable. Plus, it has to be less expensive to just add silver to a steel sword of something.