- Hardcover: 200 pages
- Publisher: Wiley; 1 edition (August 24, 2009)
- Language: English
- ISBN-10: 0470743069
- ISBN-13: 978-0470743065
- Product Dimensions: 6.2 x 0.8 x 9.2 inches
- Shipping Weight: 13.4 ounces (View shipping rates and policies)
- Average Customer Review: Be the first to review this item
- Amazon Best Sellers Rank: #4,486,103 in Books (See Top 100 in Books)
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Levy Processes in Credit Risk Hardcover – August 24, 2009
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"This text introduces into the use of Levy processes in credit riskmodeling. After a general overview of credit risk and standardcredit derivatives, the authors provide a short introduction intoLevy processes in general. This material is then used to studysingle-name credit derivatives. Following this, the authorsintroduce into firm-value Levy models, including the Merton model,Black-Cox model, Levy first passage model, variance gamma model andthe one sided Levy default model. The problem of calibration isdiscussed. After that, the authors introduce intensity Levy modelssuch as the Jarrow and Turnbull model, the Cox model and theintensity-OU model. Multivariate credit products, collateralizeddebt obligations and multivariate index modeling are discussed inthe following. In the final part of their book, the authors studycredit CPPIs and CPDOs as well as asset-backed securities."(Zentralblatt MATH, 2010)
From the Inside Flap
This book is an introductory guide to using Lévy processes forcredit 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 asCollateralized Debt Obligations (CDOs), Constant ProportionPortfolio Insurances (CPPIs) and Constant Proportion DebtObligations (CPDOs) as well as new advanced rating models for AssetBacked 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 illustratedthe need for more refined models.
Readers will learn how the classical models (driven by Brownianmotions and Black-Scholes settings) can be significantly improvedby using the more flexible class of Lévy processes. By doingthis, extreme event and jumps can be introduced into the models togive more reliable pricing and a better assessment of therisks.
The book brings in high-tech financial engineering models forthe detailed modelling of credit risk instruments, setting up thetheoretical framework behind the application of Lévy Processesto Credit Risk Modelling before moving on to the practicalimplementation. Complex credit derivatives structures such as CDOs,ABSs, CPPIs, CPDOs are analysed and illustrated with marketdata.
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