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Conditional Default Probability and Density

In: Inspired by Finance

Author

Listed:
  • N. El Karoui

    (Université Pierre et Marie Curie, Laboratoire de Probabilités et Modèles Aléatoires
    École Polytechnique, Centre de Mathématiques Appliquées)

  • M. Jeanblanc

    (Université d’Evry-Val-D’Essonne, Laboratoire Analyse et Probabilités
    Institut Europlace de Finance)

  • Y. Jiao

    (Université Claude Bernard-Lyon I, ISFA)

  • B. Zargari

    (Université d’Evry-Val-D’Essonne, Laboratoire Analyse et Probabilités
    Sharif University of Technology)

Abstract

We construct explicit models of conditional probability and density processes given a reference filtration for one or several default times. For this purpose, different methods are proposed such as the dynamic copula, change of time, change of probability measure and filtering.

Suggested Citation

  • N. El Karoui & M. Jeanblanc & Y. Jiao & B. Zargari, 2014. "Conditional Default Probability and Density," Springer Books, in: Yuri Kabanov & Marek Rutkowski & Thaleia Zariphopoulou (ed.), Inspired by Finance, edition 127, pages 201-219, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-02069-3_9
    DOI: 10.1007/978-3-319-02069-3_9
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