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Dynamics of multivariate default system in random environment

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  • El Karoui, Nicole
  • Jeanblanc, Monique
  • Jiao, Ying

Abstract

We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting of enlargement of filtrations and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. Finally, we present a martingale characterization result with respect to the observable information filtration on the market.

Suggested Citation

  • El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:12:p:3943-3965
    DOI: 10.1016/j.spa.2017.03.017
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    References listed on IDEAS

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    Cited by:

    1. Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
    2. Delia Coculescu & Gabriele Visentin, 2017. "A default system with overspilling contagion," Papers 1709.09255, arXiv.org, revised May 2023.

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