Levy Processes in Credit Risk

by Wim Schoutens and Jessica Cariboni

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...

• Format: Hardcover
• Language: English
• ISBN: 0470743069
• ISBN13: 9780470743065
• Release Date: August 2009
• Publisher: Wiley
• Length: 200 Pages
• Weight: 0.95 lbs.
• Dimensions: 0.9" x 6.2" x 9.0"