DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1

Philippe Artzner and Freddy Delbaen

Mathematical Finance, 1995, vol. 5, issue 3, 187-195

Abstract: 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.

Date: 1995
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