Levy Processes In Credit Risk
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Levy Processes In Credit Risk
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Author : Wim Schoutens
language : en
Publisher: John Wiley & Sons
Release Date : 2010-06-15
Levy Processes In Credit Risk written by Wim Schoutens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-15 with Business & Economics categories.
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.
L Vy Processes In Credit Risk And Market Models
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Author : Fehmi Özkan
language : en
Publisher:
Release Date : 2002
L Vy Processes In Credit Risk And Market Models written by Fehmi Özkan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Credit Risk Pricing With Levy Processes Capital Structure Arbitrage
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Author :
language : en
Publisher:
Release Date : 2006
Credit Risk Pricing With Levy Processes Capital Structure Arbitrage written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
An Intensity Model For Credit Risk With Switching L Vy Processes
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Author : Donatien Hainaut
language : en
Publisher:
Release Date : 2014
An Intensity Model For Credit Risk With Switching L Vy Processes written by Donatien Hainaut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by a Poisson process whose intensity is modeled by a switching Lévy process. This model presents several interesting features. Firstly, as Lévy processes encompass numerous jump processes, our model can duplicate sudden jumps observed in credit spreads. Also, due to the presence of jumps, probabilities do not vanish at very short maturities, contrary to models based on Brownian dynamics. Furthermore, as parameters of the Lévy process are modulated by a hidden Markov chain, our approach is well suited to model changes of volatility trends in credit spreads, related to modifications of unobservable economic factors.
Credit Risk Models With L Vy Processes
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Author : Ling Luo
language : en
Publisher:
Release Date : 2006
Credit Risk Models With L Vy Processes written by Ling Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Credit categories.
Martingale Estimation Of L Vy Processes And Its Extension To Structural Credit Risk Models
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Author : Ho Man Lam
language : en
Publisher:
Release Date : 2010
Martingale Estimation Of L Vy Processes And Its Extension To Structural Credit Risk Models written by Ho Man Lam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Credit categories.
A Structural Model For Credit Risk With Markov Modulated L Vy Processes And Synchronous Jumps
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Author : Donatien Hainaut
language : en
Publisher:
Release Date : 2014
A Structural Model For Credit Risk With Markov Modulated L Vy Processes And Synchronous Jumps written by Donatien Hainaut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper presents a switching regime version of the Merton's structural model for the pricing of default risk. The default event depends on the total value of the firm's asset modeled by a Markov modulated Lévy process. The novelty of our approach is to consider that firm's asset jumps synchronously with a change in the regime. After a discussion of dynamics under the risk neutral measure, we present two models. In the first one, the default occurs at bond maturity if the firm's value falls below a predetermined barrier. In the second version, the company can bankrupt at multiple predetermined discrete times. The use of a Markov chain to model switches in hidden external factors makes it possible to capture the effects of changes in trends and volatilities exhibited by default probabilities. Finally, with synchronous jumps, the firm's asset and state processes are no longer uncorrelated.
Time Inhomogeneous L Vy Processes In Interest Rate And Credit Risk Models
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Author : Wolfgang Kluge
language : en
Publisher:
Release Date : 2005
Time Inhomogeneous L Vy Processes In Interest Rate And Credit Risk Models written by Wolfgang Kluge and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
A General Framework For Term Structure And Credit Risk Models Driven By L Vy Processes
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Author : Jorge L. Hernández
language : en
Publisher:
Release Date : 2003
A General Framework For Term Structure And Credit Risk Models Driven By L Vy Processes written by Jorge L. Hernández and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
American Step Up And Step Down Credit Default Swaps Under Levy Models
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Author : Tim Leung
language : en
Publisher:
Release Date : 2015
American Step Up And Step Down Credit Default Swaps Under Levy Models written by Tim Leung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on Levy processes. This leads to the analytic and numerical studies of several optimal stopping problems subject to early termination due to default. In a general spectrally negative Levy model, we rigorously derive the optimal exercise strategy. This allows for instant computation of the credit spread under various specifications. Numerical examples are provided to examine the impacts of default risk and contractual features on the credit spread and exercise strategy.