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URN: urn:nbn:de:bsz:25-opus-4723
URL: http://www.freidok.uni-freiburg.de/volltexte/472/


Ízkan, Fehmi

LÚvy processes in credit risk and market models

LÚvy Prozesse in Kreditrisiko- und Libormodellen

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Kurzfassung in Deutsch

Mathematical credit risk models in the literature are mainly models based on Brownian motion although it is known that real-life financial data provides a different statistical behavior than that implied by these models. LÚvy processes are an appropriate tool to increase accuracy of models in finance. They have been used to model stock prices, and term structures of interest rates, thus allowing more accurate derivative pricing and risk management.
This study shows how LÚvy processes can be applied to credit risk and market models.

Chapter 1 is a brief survey of some aspects of credit risk, generalized hyperbolic distributions and LÚvy processes. In the overview of the structural approach, it is shown how LÚvy processes can be used to generalize the classical structural approach. The second chapter contains a generalization of the software package CreditRisk+ to a class of heavy-tailed distributions.
Chapter 3 contains an intensity-based credit risk Heath-Jarrow-Morton-framework based on LÚvy processes. In Chapter 4 it is explained how the market practice of pricing caplets with the Black formula can be pushed further to a model where the driving process is a LÚvy process.


SWD-Schlagwörter: Kreditrisiko , LÚvy-Prozess , Zinsstruktur
Freie Schlagwörter (deutsch): Libor , CreditRisk+
Freie Schlagwörter (englisch): Credit risk , market models , LÚvy processes , CreditRisk+
Institut: Institut fŘr Mathematische Stochastik
Fakultät: Mathematische Fakultńt (bis Sept. 2002)
DDC-Sachgruppe: Mathematik
Dokumentart: Dissertation
Erstgutachter: Eberlein, Ernst Prof. Dr.
Sprache: Englisch
Tag der mündlichen Prüfung: 31.05.2002
Erstellungsjahr: 2002
Publikationsdatum: 11.07.2002
Indexliste