Levy Processes in Credit Risk, Hardback Book

Levy Processes in Credit Risk Hardback

Part of the Wiley Finance Series series

Description

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.

Information

  • Format: Hardback
  • Pages: 200 pages, Illustrations
  • Publisher: John Wiley and Sons Ltd
  • Publication Date:
  • Category: Credit & credit institutions
  • ISBN: 9780470743065

Other Formats

£80.00

£66.69

 
Free Home Delivery

on all orders

 
Pick up orders

from local bookshops

Also in the Wiley Finance Series series   |  View all