English, Article edition: LÃVY SIMPLE STRUCTURAL MODELS MARTIN BAXTER

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Bookmark: http://trove.nla.gov.au/version/83294
Physical Description
  • article
Language
  • English

Edition details

Title
  • LÃVY SIMPLE STRUCTURAL MODELS
Author
  • MARTIN BAXTER
Physical Description
  • article
Notes
  • 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.
  • Structural credit model, CDO pricing, Levy process, gamma process
  • RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:593-606
Language
  • English
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