Add to ORKGIn this paper, we give a construction of default times admitting the same intensity, but having different conditional laws. This illustrates the well know fact that the intensity does not contain enough information to price derivative products. Our method is based on filtering theory. This paper is friendly dedicated to Eckhard Platen’s birthday. Even if it is not related with his exiting benchmark approach, we hope he will find some interest to our model.
The classical reduced-form and filtration expansion framework in credit risk is extended to the case...
1The authors wish to thank Hal Cole for helpful comments, as well as seminar participants at Iowa, F...
We consider a reduced-form credit risk model where default intensities and interest rate are functio...
We consider the intensity-based approach for the modeling of default times of one or more companies....
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
Abstract. In this paper, we present a filtering model on a default risk related to mathematical fina...
We study reduced-form portfolio credit risk models where the default intensities of the firms in a g...
In this work we study a class of credit default models with imperfect information. We combine the id...
The most extensively studied form of credit risk is the default risk which is the risk that an oblig...
We propose a reduced-form credit risk model where default intensities, interest rates and risk premi...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
We consider the filtering problem for a doubly stochastic Poisson or Cox process, where the intensit...
This paper considers a general reduced-form pricing model for credit derivatives where default inten...
We analyze the credit risk of a set of firms, which are considered as an heterogeneous population of...
The classical reduced-form and filtration expansion framework in credit risk is extended to the case...
1The authors wish to thank Hal Cole for helpful comments, as well as seminar participants at Iowa, F...
We consider a reduced-form credit risk model where default intensities and interest rate are functio...
We consider the intensity-based approach for the modeling of default times of one or more companies....
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
Abstract. In this paper, we present a filtering model on a default risk related to mathematical fina...
We study reduced-form portfolio credit risk models where the default intensities of the firms in a g...
In this work we study a class of credit default models with imperfect information. We combine the id...
The most extensively studied form of credit risk is the default risk which is the risk that an oblig...
We propose a reduced-form credit risk model where default intensities, interest rates and risk premi...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
We consider the filtering problem for a doubly stochastic Poisson or Cox process, where the intensit...
This paper considers a general reduced-form pricing model for credit derivatives where default inten...
We analyze the credit risk of a set of firms, which are considered as an heterogeneous population of...
The classical reduced-form and filtration expansion framework in credit risk is extended to the case...
1The authors wish to thank Hal Cole for helpful comments, as well as seminar participants at Iowa, F...
We consider a reduced-form credit risk model where default intensities and interest rate are functio...