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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.
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"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)
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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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- EditorialJohn Wiley & Sons Inc
- Año de publicación2009
- ISBN 10 0470743069
- ISBN 13 9780470743065
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Descripción Hardback. Condición: New. New copy - Usually dispatched within 4 working days. Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs. Nº de ref. del artículo: B9780470743065
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Descripción Condición: New. 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 consulti. Nº de ref. del artículo: 556557996
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Descripción Hardcover. Condición: new. Hardcover. 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. Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Nº de ref. del artículo: 9780470743065
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Levy Processes in Credit Risk (Hardcover)
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Descripción Hardcover. Condición: new. Hardcover. 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. Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Nº de ref. del artículo: 9780470743065
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Levy Processes in Credit Risk (Hardcover)
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Descripción Hardcover. Condición: new. Hardcover. 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. Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Nº de ref. del artículo: 9780470743065
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