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Levy Processes in Credit Risk (The Wiley Finance Series) by WIM SCHOUTENS AND JESSICA CARIBOINI is a nonfiction available to read on EtoBox.

What is Levy Processes in Credit Risk (The Wiley Finance Series) about?

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

Who reads Levy Processes in Credit Risk (The Wiley Finance Series)?

Author

WIM SCHOUTENS AND JESSICA CARIBOINI

Publisher

John Wiley & Sons, Incorporated

Published

2009

Language

EN

ISBN

9780944858493

Category

nonfiction

Subjects

Management, Finance, Business