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. It introduces jump processes in credit risk - jumps and extreme events are crucial stylized features and are essential in the modelling of very volatile credit markets - the recent turmoil in the creditmarkets 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. This book sets up the theoretical framework behind the application of LevyProcesses to Credit Risk Modelling, and then moves onto the practical implementation. Complex credit derivatives structures such as CDOs, CPPIs, CPDOs are analysed and illustrated with market data.
- ISBN: 978-0-470-74306-5
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 200
- Fecha Publicación: 24/07/2009
- Nº Volúmenes: 1
- Idioma: Inglés