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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Year of publication:	2000
Authors:	Elliott, R. J. ; Jeanblanc, M. ; Yor, M.
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 10.2000, 2, p. 179-195
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008609914