On Models of Default Risk
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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Volume (Year): 10 (2000)
Issue (Month): 2 ()
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