|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9911020087303321 |
|
|
Autore |
Schoutens Wim |
|
|
Titolo |
Levy processes in credit risk / / Wim Schoutens and Jessica Cariboni |
|
|
|
|
|
Pubbl/distr/stampa |
|
|
[Hoboken, NJ], : John Wiley & Sons, c2009 |
|
|
|
|
|
|
|
ISBN |
|
9786612291722 |
9780470685068 |
0470685069 |
9781119206521 |
1119206529 |
9781282291720 |
1282291726 |
9780470749036 |
0470749032 |
|
|
|
|
|
|
|
|
Descrizione fisica |
|
1 online resource (201 p.) |
|
|
|
|
|
|
Collana |
|
The Wiley Finance Series ; ; v.519 |
|
|
|
|
|
|
Altri autori (Persone) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Credit - Management - Mathematical models |
Risk management - Mathematical models |
Lévy processes |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references and index. |
|
|
|
|
|
|
Nota di contenuto |
|
L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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 |
|
|
|
|