Levy Processes In Credit Risk

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Levy Processes in Credit Risk

Wim Schoutens,Jessica Cariboni
Levy Processes in Credit Risk Book PDF

Author : Wim Schoutens,Jessica Cariboni
Publisher : John Wiley & Sons
Page : 200 pages
File Size : 43,8 Mb
Release : 2010-06-15
Category : Business & Economics
ISBN : 9780470685068

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Levy Processes in Credit Risk by Wim Schoutens,Jessica Cariboni Pdf

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.

Levy Processes in Finance

Wim Schoutens
Levy Processes in Finance Book PDF

Author : Wim Schoutens
Publisher : Wiley
Page : 200 pages
File Size : 53,8 Mb
Release : 2003-05-07
Category : Mathematics
ISBN : 0470851562

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Levy Processes in Finance by Wim Schoutens Pdf

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.

Credit Correlation

Alexander Lipton,Andrew Rennie
Credit Correlation Book PDF

Author : Alexander Lipton,Andrew Rennie
Publisher : World Scientific
Page : 178 pages
File Size : 41,7 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812709493

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Credit Correlation by Alexander Lipton,Andrew Rennie Pdf

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.

Financial Modelling with Jump Processes

Peter Tankov
Financial Modelling with Jump Processes Book PDF

Author : Peter Tankov
Publisher : CRC Press
Page : 552 pages
File Size : 53,6 Mb
Release : 2003-12-30
Category : Business & Economics
ISBN : 9781135437947

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Financial Modelling with Jump Processes by Peter Tankov Pdf

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Mathematics of the Bond Market: A Lévy Processes Approach

Michał Barski,Jerzy Zabczyk
Mathematics of the Bond Market A L vy Processes Approach Book PDF

Author : Michał Barski,Jerzy Zabczyk
Publisher : Cambridge University Press
Page : 401 pages
File Size : 49,5 Mb
Release : 2020-04-23
Category : Business & Economics
ISBN : 9781107101296

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Mathematics of the Bond Market: A Lévy Processes Approach by Michał Barski,Jerzy Zabczyk Pdf

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.

Fluctuations of Lévy Processes with Applications

Andreas E. Kyprianou
Fluctuations of L vy Processes with Applications Book PDF

Author : Andreas E. Kyprianou
Publisher : Springer Science & Business Media
Page : 461 pages
File Size : 48,9 Mb
Release : 2014-01-09
Category : Mathematics
ISBN : 9783642376320

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Fluctuations of Lévy Processes with Applications by Andreas E. Kyprianou Pdf

Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.

Modelling, Pricing, and Hedging Counterparty Credit Exposure

Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda
Modelling Pricing and Hedging Counterparty Credit Exposure Book PDF

Author : Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda
Publisher : Springer Science & Business Media
Page : 257 pages
File Size : 44,7 Mb
Release : 2009-12-06
Category : Business & Economics
ISBN : 9783642044540

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Modelling, Pricing, and Hedging Counterparty Credit Exposure by Giovanni Cesari,John Aquilina,Niels Charpillon,Zlatko Filipovic,Gordon Lee,Ion Manda Pdf

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.

Semi-Markov Migration Models for Credit Risk

Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca
Semi Markov Migration Models for Credit Risk Book PDF

Author : Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca
Publisher : John Wiley & Sons
Page : 316 pages
File Size : 48,5 Mb
Release : 2017-05-24
Category : Mathematics
ISBN : 9781119415114

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Semi-Markov Migration Models for Credit Risk by Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca Pdf

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Credit Risk Frontiers

Tomasz Bielecki,Damiano Brigo,Frederic Patras
Credit Risk Frontiers Book PDF

Author : Tomasz Bielecki,Damiano Brigo,Frederic Patras
Publisher : John Wiley & Sons
Page : 770 pages
File Size : 45,8 Mb
Release : 2011-02-14
Category : Business & Economics
ISBN : 9781118003831

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Credit Risk Frontiers by Tomasz Bielecki,Damiano Brigo,Frederic Patras Pdf

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.

Financial Models with Levy Processes and Volatility Clustering

Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi
Financial Models with Levy Processes and Volatility Clustering Book PDF

Author : Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 316 pages
File Size : 42,8 Mb
Release : 2011-02-08
Category : Business & Economics
ISBN : 9780470937266

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Financial Models with Levy Processes and Volatility Clustering by Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi Pdf

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Stochastics of Environmental and Financial Economics

Fred Espen Benth,Giulia Di Nunno
Stochastics of Environmental and Financial Economics Book PDF

Author : Fred Espen Benth,Giulia Di Nunno
Publisher : Springer
Page : 362 pages
File Size : 48,7 Mb
Release : 2015-10-23
Category : Science
ISBN : 9783319234250

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Stochastics of Environmental and Financial Economics by Fred Espen Benth,Giulia Di Nunno Pdf

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Arbitrage, Credit and Informational Risks

Caroline Hillairet,Monique Jeanblanc,Ying Jiao
Arbitrage Credit and Informational Risks Book PDF

Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
Publisher : World Scientific
Page : 276 pages
File Size : 54,6 Mb
Release : 2014-03-18
Category : Mathematics
ISBN : 9789814602082

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Arbitrage, Credit and Informational Risks by Caroline Hillairet,Monique Jeanblanc,Ying Jiao Pdf

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks

Queues and Lévy Fluctuation Theory

Krzysztof Dębicki,Michel Mandjes
Queues and L vy Fluctuation Theory Book PDF

Author : Krzysztof Dębicki,Michel Mandjes
Publisher : Springer
Page : 255 pages
File Size : 40,6 Mb
Release : 2015-08-06
Category : Mathematics
ISBN : 9783319206936

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Queues and Lévy Fluctuation Theory by Krzysztof Dębicki,Michel Mandjes Pdf

The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.

From Statistics to Mathematical Finance

Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang
From Statistics to Mathematical Finance Book PDF

Author : Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang
Publisher : Springer
Page : 440 pages
File Size : 55,6 Mb
Release : 2017-10-28
Category : Mathematics
ISBN : 9783319509860

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From Statistics to Mathematical Finance by Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang Pdf

This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.

The Handbook of Credit Risk Management

Sylvain Bouteille,Diane Coogan-Pushner
The Handbook of Credit Risk Management Book PDF

Author : Sylvain Bouteille,Diane Coogan-Pushner
Publisher : John Wiley & Sons
Page : 44 pages
File Size : 49,9 Mb
Release : 2012-12-07
Category : Business & Economics
ISBN : 9781118421468

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The Handbook of Credit Risk Management by Sylvain Bouteille,Diane Coogan-Pushner Pdf

A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.