Bao, Qunfang; Li, Shenghong; Liu, Guimei - Volkswirtschaftliche Fakultät, … - 2010
This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schonbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density...