Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
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| Autore: |
Schoutens Wim
|
| Titolo: |
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
|
| Pubblicazione: | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica: | 1 online resource (201 p.) |
| Disciplina: | 332.7 |
| 658.88015195 | |
| Soggetto topico: | Credit - Management - Mathematical models |
| Risk management - Mathematical models | |
| Lévy processes | |
| Soggetto genere / forma: | Electronic books. |
| Altri autori: |
CariboniJessica
|
| 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 (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 |
| Titolo autorizzato: | Levy processes in credit risk |
| ISBN: | 0-470-68506-9 |
| 1-119-20652-9 | |
| 1-282-29172-6 | |
| 9786612291722 | |
| 0-470-74903-2 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910139929003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
The Wiley Finance Series