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Книга Levy processes in credit risk Wim Schoutens

Levy processes in credit risk

Автор: Wim Schoutens, Jessica Cariboni
Език: Английски език
Корици: С твърди корици
Издател: John Wiley & Sons Inc
Наличност: Външен склад в ограничено количество
Изпращаме след 11-15 дни
143.73 € 281.12 лв
This book is an introductory guide to using Levy processes for credit risk modelling. It covers all...

Информация за книгата

Автор
Wim Schoutens, Jessica Cariboni
Език
Английски език
Корици
Книга - С твърди корици
Издадена
2009
страници
200
EAN
9780470743065
ISBN
0470743069
Enbook ID
04885600
Издател
John Wiley & Sons Inc
Теглоt
432
Размери
162 x 238 x 20

Пълно описание

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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