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200 10$aLevy processes in credit risk /$fWim Schoutens and Jessica Cariboni
210   $a[Hoboken, NJ] $cJohn Wiley & Sons$dc2009
215   $a1 online resource (201 p.)
225 1 $aThe Wiley Finance Series ;$vv.519
300   $aDescription based upon print version of record.
311 08$a9780470743065 
311 08$a0470743069 
320   $aIncludes bibliographical references and index.
327   $aL ?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
330   $aThis book is an introductory guide to using Le?vy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs).  Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent
410  4$aThe Wiley Finance Series
606   $aCredit$xManagement$xMathematical models
606   $aRisk management$xMathematical models
606   $aLe?vy processes
615  0$aCredit$xManagement$xMathematical models.
615  0$aRisk management$xMathematical models.
615  0$aLe?vy processes.
676   $a658.8/8015195
700   $aSchoutens$b Wim$0536902
701   $aCariboni$b Jessica$01838675
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9911020087303321
996   $aLevy processes in credit risk$94417712
997   $aUNINA