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On Models of Default Risk

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  • R. J. Elliott
  • M. Jeanblanc
  • M. Yor
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    Abstract

    We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples. Copyright Blackwell Publishers, Inc..

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 10 (2000)
    Issue (Month): 2 ()
    Pages: 179-195

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    Handle: RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195

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    Cited by:
    1. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
    2. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.
    3. Li, Libo & Rutkowski, Marek, 2012. "Random times and multiplicative systems," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2053-2077.
    4. Umut \c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
    5. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
    6. Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
    8. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
    9. Philippe Ehlers & Philipp Schönbucher, 2009. "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, vol. 13(1), pages 79-103, January.
    10. Jeanblanc, Monique & Geman, Hélyette & Coculescu, Délia, 2006. "Valuation of default sensitive claims under imperfect information," Economics Papers from University Paris Dauphine 123456789/2191, Paris Dauphine University.
    11. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Nikeghbali, Ashkan, 2007. "Non-stopping times and stopping theorems," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 457-475, April.
    13. Ying Jiao, 2009. "Multiple defaults and contagion risks," Working Papers hal-00441500, HAL.
    14. Ying Jiao, 2009. "Multiple defaults and contagion risks," Papers 0912.3132, arXiv.org.
    15. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    16. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
    17. Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
    18. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    19. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
    20. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
    21. Kardaras, Constantinos, 2014. "On the characterisation of honest times that avoid all stopping times," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 373-384.
    22. Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008. "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, vol. 12(2), pages 195-218, April.
    23. Vergil VOINEAGU & Catalin DEATCU & Danut CULETU & Alexandru URSACHE, 2013. "Risk of Defaulting," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(3), pages 40-46, September.

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