Levy Processes in Credit Risk / Wiley Finance Series (ePub)
(Sprache: Englisch)
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...
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...
sofort als Download lieferbar
eBook (ePub)
81.99 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Levy Processes in Credit Risk / Wiley Finance Series (ePub)“
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 turmoil in the credit markets has once again illustrated
the need for more refined models.
Readers will learn how the classical models (driven by Brownian
motions and Black-Scholes settings) can be significantly improved
by using the more flexible class of Lévy processes. By doing
this, extreme event and jumps can be introduced into the models to
give more reliable pricing and a better assessment of the
risks.
The book brings in high-tech financial engineering models for
the detailed modelling of credit risk instruments, setting up the
theoretical framework behind the application of Lévy Processes
to Credit Risk Modelling before moving on to the practical
implementation. Complex credit derivatives structures such as CDOs,
ABSs, CPPIs, CPDOs are analysed and illustrated with market
data.
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 turmoil in the credit markets has once again illustrated
the need for more refined models.
Readers will learn how the classical models (driven by Brownian
motions and Black-Scholes settings) can be significantly improved
by using the more flexible class of Lévy processes. By doing
this, extreme event and jumps can be introduced into the models to
give more reliable pricing and a better assessment of the
risks.
The book brings in high-tech financial engineering models for
the detailed modelling of credit risk instruments, setting up the
theoretical framework behind the application of Lévy Processes
to Credit Risk Modelling before moving on to the practical
implementation. Complex credit derivatives structures such as CDOs,
ABSs, CPPIs, CPDOs are analysed and illustrated with market
data.
Autoren-Porträt von Wim Schoutens, Jessica Cariboni
Wim Schoutens (Leuven, Belgium) is a research professor infinancial engineering in the Department of Mathematics at the
Catholic University of Leuven, Belgium. He has extensive practical
experience of model implementation and is well known for his
consulting work in the banking industry. Wim is the author of
Lévy Processes in Finance and co-editor of Exotic
Option Pricing and Advanced Lévy Models both published by
Wiley. He teaches at 7city Learning and London Financial Studies.
He is Managing Editor of the International Journal of
Theoretical and Applied Finance and Associate Editor of
Mathematical Finance and Review of Derivatives
Research.
Jessica Cariboni (Ispra, Italy) has a PhD in applied
statistics from the Catholic University of Leuven, Belgium. She was
a junior quantitative analyst at Nextra Investment Management. She
is currently a functionary of the European Commission and
researcher at the European Commission DG-Joint Research Centre,
Ispra, Italy. She is also co-author of the book Global
Sensitivity Analysis: The Primer published by Wiley.
Bibliographische Angaben
- Autoren: Wim Schoutens , Jessica Cariboni
- 2010, 1. Auflage, 200 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470685069
- ISBN-13: 9780470685068
- Erscheinungsdatum: 02.11.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 2.56 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Levy Processes in Credit Risk / Wiley Finance Series"
0 Gebrauchte Artikel zu „Levy Processes in Credit Risk / Wiley Finance Series“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Levy Processes in Credit Risk / Wiley Finance Series".
Kommentar verfassen