An explicit model of default time with given survival probability

Stochastic Processes and their Applications

Volumn 121, Issue 8, 2011, Pages 1678-1704

  Jeanblanc, Monique ^a,b   Song, Shiqi ^a  

^a UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^b Institut Europlace de Finance   (France)

Author keywords

Cox model; Credit risk; Progressive enlargement of filtrations; Semimartingale decomposition formula

Indexed keywords

COX MODEL; CREDIT RISKS; ENLARGEMENT OF FILTRATION; EXPLICIT MODELS; PROBABILITY MEASURES; PROBABILITY SPACES; SEMIMARTINGALES; SURVIVAL PROBABILITIES;

PROBABILITY; RISK ASSESSMENT;

PROBABILITY DENSITY FUNCTION;

EID: 79958150754     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.04.002     Document Type: Article

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