Article2007

LÉVY SIMPLE STRUCTURAL MODELS

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37 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

Abstract

This paper considers credit portfolio models based on Levy processes in general, and the gamma model in particular. It describes both single-name and multi-name situations using the gamma model, along with calibration fits and a comparison of various simple Levy models. There is also extensive historical data, including the May 2005 Auto crisis, which can be described in terms of the model. Parameter-based risk management using the gamma model is also discussed along with implementation details.

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References

2004Lévy Processes and Stochastic Calculus 1998The Variance Gamma Process and Option Pricing 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation 2006A Multivariate Jump-Driven Financial Asset Model 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model 2006Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives 2006Pricing CDOs with Correlated Variance Gamma Distributions

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2012General theory of geometric Lévy models for dynamic asset pricing 2009Single and joint default in a structural model with purely discontinuous asset prices 2009A multivariate Lévy process model with linear correlation 2016Structural credit risk modelling with Hawkes jump diffusion processes

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