Affiliation:
1. Nomura International plc, 1 St Martin's-le-Grand, London EC1A 4NP, United Kingdom
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.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
22 articles.
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