On models of default risk

Authors
Elliott, RJ Jeanblanc, M Yor, M
Citation
Rj. Elliott et al., On models of default risk, MATH FINANC, 10(2), 2000, pp. 179-195
Citations number
23
Categorie Soggetti
Economics
Journal title
MATHEMATICAL FINANCE
ISSN journal
09601627 → ACNP
Volume
10
Issue
2
Year of publication
2000
Pages
179 - 195
Database
ISI
SICI code
0960-1627(200004)10:2<179:OMODR>2.0.ZU;2-B
Abstract
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 t ry 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.