Levy Processes in Credit Risk
Par šo e-grāmatu
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.
Vērtējumi un atsauksmes
Par autoru
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.
