Levy Processes in Credit Risk

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9780470743065: Levy Processes in Credit Risk
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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.

Recensione:

"This text introduces into the use of Levy processes in credit risk modeling. After a general overview of credit risk and standard credit derivatives, the authors provide a short introduction into Levy processes in general. This material is then used to study single–name credit derivatives. Following this, the authors introduce into firm–value Levy models, including the Merton model, Black–Cox model, Levy first passage model, variance gamma model and the one sided Levy default model. The problem of calibration is discussed. After that, the authors introduce intensity Levy models such as the Jarrow and Turnbull model, the Cox model and the intensity–OU model. Multivariate credit products, collateralized debt obligations and multivariate index modeling are discussed in the following. In the final part of their book, the authors study credit CPPIs and CPDOs as well as asset–backed securities." ( Zentralblatt MATH, 2010)

L'autore:

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: Wiley (2009)
ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro Wiley, 2009. Hardcover. Condizione: New. 1. Codice articolo DADAX0470743069

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Descrizione libro Wiley, 2009. Condizione: New. book. Codice articolo M0470743069

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione: 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 articolo AAH9780470743065

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Jessica Cariboni, Wim Schoutens
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ISBN 10: 0470743069 ISBN 13: 9780470743065
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione: 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 articolo AAH9780470743065

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

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Wim Schoutens (author), Jessica Cariboni (author)
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Descrizione libro Wiley 2009-07-24, Hoboken, N.J. :|Chichester, 2009. hardback. Condizione: New. Codice articolo 9780470743065

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione: 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 articolo BTE9780470743065

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Descrizione libro 2009. Hardback. Condizione: 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 articolo HTANDREE0772735

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

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