The purpose of this paper is to present in a unified context the reduced form modelling approach, in which a credit event is modelled as a totally inaccessible stopping time. Once the general framework is introduced (frequently referred to as pure intensity set-up), we focus on the special case...

The purpose of this paper is to study the immersion property within a credit risk modeling. The construction of a credit model by enlargement of a reference Filtration with the progressive knowledge of a credit event has become a standard for reduced form modeling. It is known that such a...

The preservation of the semi-martingale property in a progressive enlargement of filtration has been studied by many authors. Most of them focus on progressive enlargement with a honest time, allowing for semi-martingale invariance and simple decomposition formulas. However, times allowing for...

In some examples, we study the role of information in a default-risky framework. The analysis is based on the assumption that the investors in defaultable bonds obtain information about the firm's unlevered asset value at discrete dates. The discrete information arrivals induce...