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Carte Levy processes in credit risk Wim Schoutens

Levy processes in credit risk

Autor: Wim Schoutens, Jessica Cariboni
Limbă: engleză
Legare: Copertă tare
Editura: John Wiley & Sons Inc
Disponibilitate: În depozitul extern în cantități mici
Expediem în 11-15 zile
716.64 lei
This book is an introductory guide to using Levy processes for credit risk modelling. It covers all...

Informații despre carte

Autor
Wim Schoutens, Jessica Cariboni
Limbă
engleză
Legare
Carte - Copertă tare
Publicat
2009
Pagini
200
EAN
9780470743065
ISBN
0470743069
Enbook ID
04885600
Editura
John Wiley & Sons Inc
Greutate
432
Dimensiuni
162 x 238 x 20

Descriere completă

This book is an introductory guide to using Levy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs). Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent turmoil in the credit markets has once again illustrated the need for more refined models. Readers will learn how the classical models (driven by Brownian motions and Black-Scholes settings) can be significantly improved by using the more flexible class of Levy processes. By doing this, extreme event and jumps can be introduced into the models to give more reliable pricing and a better assessment of the risks. The book brings in high-tech financial engineering models for the detailed modelling of credit risk instruments, setting up the theoretical framework behind the application of Levy Processes to Credit Risk Modelling before moving on to the practical implementation. Complex credit derivatives structures such as CDOs, ABSs, CPPIs, CPDOs are analysed and illustrated with market data.

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