Weak convergence in credit risk

Jesús P. Colino

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In the present paper, we study both the approximation of a continuous-time model by a sequence of discrete-time price models driven by semimargingales with credit risk, and the convergence of these price processes (in terms of the triplets) under a framework that allows the practitioner a multiple set of models (semimartingale) and credit conditions (migration and default).

Keywords: Weak; convergence; Semimartingales; incomplete; markets; Corporate; bonds (search for similar items in EconPapers)
Date: 2008-11
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws085518

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