Levy Processes in Credit Risk

This book introduces Levy processes in the world of credit risk modeling. Attention is paid to all kind of credit derivatives: from the single name vanillas like Credit Default Swaps (CDSs) up to structured credit risk products like CPPIs and CPDOs. It brings high tech financial engineering models in detail for the modeling of credit risk instruments. Jumps and extreme events are crucial stylized features and are essential in the modeling of the very volatile credit markets. The credit crunch crisis in the financial markets has illustrated once more the need for more refined models. The readers will learn how the classical models (driven by Brownian motions, cfr. Black-Scholes settings) can be improved by considering the more flexible class of L\'evy processes. By doing this, extreme event and jumps are introduced in the models leading to a more realistic assessment of the risk presents. Besides the setting up of the theoretical framework, many attention will be paid to the practical aspects. Complex credit derivatives structures (CDOs, CPPIs, CPDOs, ...) are analyzed and illustrated on market data.

SCHOUTENS Wim;  CARIBONI Jessica; 

2009-08-07

Wiley, John & Sons, Incorporated

JRC50078

978-0-470-74306-5,   

http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470743069.html,    https://publications.jrc.ec.europa.eu/repository/handle/JRC50078,