DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1
Philippe Artzner () and
Mathematical Finance, 1995, vol. 5, issue 3, 187-195
This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk‐neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default‐prone securities.
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