No label defined (Q4544440)

This work is the thesis of the author written at the university of Freiburg under the guidance of Professor Eberlein. As such it stands in the tradition of several theses and papers covering the application of Lévy processes in mathematics of finance. The use of Lévy processes is justified because real financial distributions have fatter fails than the normal distribution. In this work a number of existing models on credit risk and loss distributions for portfolios are Lévy-tized. In section 2 default losses in portfolios with variable default rates based on several sectors are analyzed. This is then applied to a model portfolio using generalized inverse Gaussian distributions and compared with the results of the Credit Risk\(^{\text{+TM}}\) software package. The latter is based on Gamma distributions. In section 3 arbitrage-free models of defaultable bonds are studied following the works of \textit{D. Heath, R. Jarrow} and \textit{A. Morton} [Econometrica 60, 77-105 (1992; Zbl 0751.90009)]. This model is extended to include credit rating migration and restructuring. In the final section Libor market models driven by Lévy processes are constructed and analyzed. In this generality the paper is rather technical with numerous references to other works. For the readers convenience a more carefully written introduction and more detailed interpretation of results obtained would certainly be desirable.