{"product_id":"9780470743065","title":"Levy Processes in Credit Risk","description":"\u003ch3\u003eThe Wiley Finance Series\u003c\/h3\u003e\u003ch1\u003eLevy Processes in Credit Risk\u003c\/h1\u003e\u003ch3\u003eWim Schoutens | Jessica Cariboni\u003c\/h3\u003e\u003cdiv\u003e\u003cb\u003eBusiness \u0026amp; Economics \/ Finance \/ General\u003c\/b\u003e\u003c\/div\u003e\u003cbr\u003e\u003cdiv\u003eThis 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).  \u003cp\u003eJumps 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.\u003c\/p\u003e \u003cp\u003eReaders 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.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e\n\u003c\/div\u003e\u003cdiv\u003e  \u003cb\u003eWim Schoutens\u003c\/b\u003e (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 \u003ci\u003eLévy Processes in Finance\u003c\/i\u003e and co-editor of \u003ci\u003eExotic Option Pricing and Advanced Lévy Models\u003c\/i\u003e both published by Wiley. He teaches at 7city Learning and London Financial Studies. He is Managing Editor of the \u003ci\u003eInternational Journal of Theoretical and Applied Finance\u003c\/i\u003e and Associate Editor of \u003ci\u003eMathematical Finance\u003c\/i\u003e and \u003ci\u003eReview of Derivatives Research\u003c\/i\u003e.  \u003cp\u003e\u003cb\u003eJessica Cariboni\u003c\/b\u003e (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 \u003ci\u003eGlobal Sensitivity Analysis: The Primer\u003c\/i\u003e published by Wiley.\u003c\/p\u003e\n\u003c\/div\u003e\u003cbr\u003e\u003ctable\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublication Date: \u003c\/td\u003e\n\u003ctd\u003e31 August 2009\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePublisher: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eImprint: \u003c\/td\u003e\n\u003ctd\u003eWiley\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eISBN-13: \u003c\/td\u003e\n\u003ctd\u003e9780470743065\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eFormat: \u003c\/td\u003e\n\u003ctd\u003eHardback\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003ePage Count: \u003c\/td\u003e\n\u003ctd\u003e200\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003ctr\u003e\n\u003ctd\u003eWeight (oz): \u003c\/td\u003e\n\u003ctd\u003e15.04\u003c\/td\u003e\n\u003c\/tr\u003e\n\u003c\/table\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":44314800488588,"sku":"9780470743065","price":135.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9780470743065_8bda4a5b-c249-4e72-970a-fe77b3a035b7.jpg?v=1780179412","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9780470743065","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}