LÉVY SIMPLE STRUCTURAL MODELS

Martin Baxter ()
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Martin Baxter: Nomura International plc, 1 St Martin's-le-Grand, London EC1A 4NP, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 04, 593-606

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.

Keywords: Structural credit model; CDO pricing; Levy process; gamma process (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1142/S021902490700438X

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