03138nam 2200685Ia 450 991102008730332120200520144314.0978661229172297804706850680470685069978111920652111192065299781282291720128229172697804707490360470749032(CKB)1000000000794235(EBL)454331(OCoLC)475534193(SSID)ssj0000301677(PQKBManifestationID)12106769(PQKBTitleCode)TC0000301677(PQKBWorkID)10263787(PQKB)11664287(MiAaPQ)EBC454331(Perlego)1010034(EXLCZ)99100000000079423520090410d2009 uy 0engur|n|---|||||txtccrLevy processes in credit risk /Wim Schoutens and Jessica Cariboni[Hoboken, NJ] John Wiley & Sonsc20091 online resource (201 p.)The Wiley Finance Series ;v.519Description based upon print version of record.9780470743065 0470743069 Includes bibliographical references and index.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; IndexThis 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 (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 recentThe Wiley Finance SeriesCreditManagementMathematical modelsRisk managementMathematical modelsLévy processesCreditManagementMathematical models.Risk managementMathematical models.Lévy processes.658.8/8015195Schoutens Wim536902Cariboni Jessica1838675MiAaPQMiAaPQMiAaPQBOOK9911020087303321Levy processes in credit risk4417712UNINA