Levy Processes in Credit Risk

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9780470743065: Levy Processes in Credit Risk

This book is an introductory guide to using Lévy 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 Lévy 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 Lévy 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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

"Schoutens and Cariboni are two of a horrifyingly small number of authors who realize that something had to be done about credit modelling. Theirs won't be the final word on the subject but it's better than almost everything else that's been written."
Paul Wilmott, wilmott.com

"The book casts great light on the intricacies of structured products valuation at a time when credit jumps play a key role in the understanding of credit events."
Guido Bichisao, Head of Financial Engineering and Advisory Services, European Investment Bank

"Lévy processes represent a quantum leap over the continuous processes that
have previously been used in credit modeling."
Peter Carr, Head of Quantitative Research, Bloomberg LP and Director of Master Program in Mathematical Finance, NYC

"I recommend with pleasure the expert exposition of what real expertise has attained in an undoubtedly difficult yet critical arena of the financial markets. When such insight, intuition and intellectual perseverance offer leadership, it is foolhardy to look the other way. The book is must learn for all professionals."
Professor Dilip Madan, University of Maryland - Robert H. Smith School of Business

About the Author:

Wim Schoutens (Leuven, Belgium) is a research professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work in the banking industry. Wim is the author of Lévy Processes in Finance and co-editor of Exotic Option Pricing and Advanced Lévy Models both published by Wiley. He teaches at 7city Learning and London Financial Studies. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.

Jessica Cariboni (Ispra, Italy) has a PhD in applied statistics from the Catholic University of Leuven, Belgium. She was a junior quantitative analyst at Nextra Investment Management. She is currently a functionary of the European Commission and researcher at the European Commission DG-Joint Research Centre, Ispra, Italy. She is also co-author of the book Global Sensitivity Analysis: The Primer published by Wiley.

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Wim Schoutens, Jessica Cariboni
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. 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. Codice libro della libreria AAH9780470743065

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ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro John Wiley and#38; Sons, 2009. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470743065

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Wim Schoutens, Jessica Cariboni
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. New. Language: English . Brand New Book. 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. Codice libro della libreria AAH9780470743065

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Wim Schoutens, Jessica Cariboni
Editore: Wiley 2009-07-24, Hoboken, N.J. :|Chichester (2009)
ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro Wiley 2009-07-24, Hoboken, N.J. :|Chichester, 2009. hardback. Condizione libro: New. Codice libro della libreria 9780470743065

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Descrizione libro John Wiley & Sons. Hardcover. Condizione libro: New. New copy - Usually dispatched within 2 working days. Codice libro della libreria B9780470743065

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Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. book. Codice libro della libreria M0470743069

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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. Codice libro della libreria BZV9780470743065

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Descrizione libro 2009. Hardback. Condizione libro: NEW. 9780470743065 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Codice libro della libreria HTANDREE0772735

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Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. Never used!. Codice libro della libreria P110470743069

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Descrizione libro John Wiley & Sons Inc, 2009. Hardcover. Condizione libro: Brand New. 1st edition. 200 pages. 9.25x6.25x0.75 inches. In Stock. Codice libro della libreria __0470743069

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