An explicit model of default time with given survival probability

Monique Jeanblanc and Shiqi Song

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1678-1704

Abstract: For a given filtered probability space , an -adapted continuous increasing process [Lambda] and a positive - local martingale N such that [Lambda]0=0 and Nte-[Lambda]t

Keywords: Credit; risk; Cox; model; Progressive; enlargement; of; filtrations; Semimartingale; decomposition; formula (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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