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Lévy Simple Structural Models

In: Credit Correlation Life After Copulas

Author

Listed:
  • MARTIN BAXTER

    (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.

Suggested Citation

  • Martin Baxter, 2007. "Lévy Simple Structural Models," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 1, pages 1-14, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812709509_0001
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