Hazard rate for credit risk and hedging defaultable contingent claims
We provide a concise exposition of theoretical results that appear in modeling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a vulnerable claim. Our main result is that, to hedge a defaultable claim one has to invest the value of this contingent claim in the defaultable zero-coupon. Copyright Springer-Verlag Berlin/Heidelberg 2004
Volume (Year): 8 (2004)
Issue (Month): 1 (January)
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