IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1908.09857.html
   My bibliography  Save this paper

Construction of Martingale Measure in the Hazard Process Model of Credit Risk

Author

Listed:
  • Marek Capi'nski
  • Tomasz Zastawniak

Abstract

In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock and defaultable bond prices into martingales by identifying a no-arbitrage condition, in as weak a sense as possible, which facilitates such a construction.

Suggested Citation

  • Marek Capi'nski & Tomasz Zastawniak, 2019. "Construction of Martingale Measure in the Hazard Process Model of Credit Risk," Papers 1908.09857, arXiv.org.
    • Handle: RePEc:arx:papers:1908.09857
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1908.09857
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1908.09857. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.