scientific article; zbMATH DE number 1775715
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.
- Credit risk in Lévy Libor modeling: rating based approach.
- scientific article; zbMATH DE number 5619427
- Lévy simple structural models
- scientific article; zbMATH DE number 2241893
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
- scientific article; zbMATH DE number 2151382
- Rating based Lévy Libor model
- scientific article; zbMATH DE number 1466110
- Extreme financial risks and asset allocation
- Risk modelling on liquidations with Lévy processes
- Minimizing banking risk in a Lévy process setting
- Modelling by Lévy processes for financial econometrics
- Term structure models driven by general Lévy processes
- Notes on exact and semi-exact Lévy models for the valuation of CDOs
- Rating based Lévy Libor model
- An extension of CreditGrades model approach with Lévy processes
- scientific article; zbMATH DE number 5853093 (Why is no real title available?)
- scientific article; zbMATH DE number 5619427 (Why is no real title available?)
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
- Credit risk in Lévy Libor modeling: rating based approach.
- Credit risk with infinite dimensional Lévy processes
- scientific article; zbMATH DE number 5565446 (Why is no real title available?)
- Modelling default and prepayment using Lévy processes: an application to asset backed securities
- On Cox processes and credit risky securities
- Sample-path large deviations in credit risk
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- Clustered Lévy processes and their financial applications
- Lévy simple structural models
- ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
- Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
- scientific article; zbMATH DE number 6472298 (Why is no real title available?)
- scientific article; zbMATH DE number 2241893 (Why is no real title available?)
- Default prediction with the Merton-type structural model based on the NIG Lévy process
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4544440)
