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Informationen zum Autor Wim Schoutens (Leuven, Belgium) is a research professor in financial 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. Klappentext An introductory guide to using Levy processes for credit risk modelingThis introductory guide to Levy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today's tumultuous credit market. Readers will learn how the classical models can be improved with Levy processes. The book uses real market data to analyze and illustrate derivative structures and covers both the practical and theoretical underpinnings of Levy processes in credit risk modeling.Wim Schoutens (Leuven, Belgium) is a Research Professor of Financial Engineering in the Department of Mathematics at the Catholic University of Leuven in Belgium. He is recognized as one of the world's leading authorities on Levy processes. Jessica Cariboni (Ispra, Italy) is a functionary at the European Commission and a researcher at the Institute for the Protection and Security of Citizens, where she specializes in applied statistics for antifraud. Zusammenfassung Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs. Inhaltsverzeichnis Preface. Acknowledgements. PART I: INTRODUCTION. 1 An Introduction to Credit Risk. 1.1 Credit Risk. 1.1.1 Historical and Risk-Neutral Probabilities. 1.1.2 Bond Prices and Default Probability. 1.2 Credit Risk Modelling. 1.3 Credit Derivatives. 1.4 Modelling Assumptions. 1.4.1 Probability Space and Filtrations. 1.4.2 The Risk-Free Asset. 2 An Introduction to Lévy Processes. 2.1 Brownian Motion. 2.2 Lévy Processes. 2.3 Examples of Lévy Processes. 2.3.1 Poisson Process. 2.3.2 Compound Poisson Process. 2.3.3 The Gamma Process. 2.3.4 Inverse Gaussian Process. 2.3.5 The CMY Process. 2.3.6 The Variance Gamma Process. 2.4 Ornstein-Uhlenbeck Processes. 2.4.1 The Gamma-OU Process. 2.4.2 The Inverse Gaussian-OU Process. PART II: SINGLE-NAME MODELLING. 3 Single-Name Credit Derivatives. 3.1 Credit Default Swaps. 3.1.1 Credit Default Swaps Pricing. 3.1.2 Calibration Assumptions. 3.2 Credit Default Swap Forwards. 3.2.1 Credit Default Swap Forward Pricing. 3.3 Constant Maturity Credit Default Swaps. 3.3.1 Constant Maturity Credit Default Swaps Pricing. 3.4 Options on CDS. 4 Firm-Value Lévy Models. 4.1 The Merton Model. 4.2 The B...
