An explicit model of default time with given survival probability
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References listed on IDEAS
- Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
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- Libo Li, 2018. "From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org.
- Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
- Li, Libo & Rutkowski, Marek, 2012. "Random times and multiplicative systems," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2053-2077.
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KeywordsCredit risk Cox model Progressive enlargement of filtrations Semimartingale decomposition formula;
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