Levy Processes in Credit RiskISBN: 978-0-470-74306-5
Hardcover
200 pages
August 2009
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"This text introduces into the use of Levy processes in credit risk
modeling. After a general overview of credit risk and standard
credit derivatives, the authors provide a short introduction into
Levy processes in general. This material is then used to study
single-name credit derivatives. Following this, the authors
introduce into firm-value Levy models, including the Merton model,
Black-Cox model, Levy first passage model, variance gamma model and
the one sided Levy default model. The problem of calibration is
discussed. After that, the authors introduce intensity Levy models
such as the Jarrow and Turnbull model, the Cox model and the
intensity-OU model. Multivariate credit products, collateralized
debt obligations and multivariate index modeling are discussed in
the following. In the final part of their book, the authors study
credit CPPIs and CPDOs as well as asset-backed securities."
(Zentralblatt MATH, 2010)