Hazard rate for credit risk and hedging defaultable contingent claims

Christophette Blanchet-Scalliet () and Monique Jeanblanc ()

Finance and Stochastics, 2004, vol. 8, issue 1, 145-159

Abstract: We provide a concise exposition of theoretical results that appear in modeling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a vulnerable claim. Our main result is that, to hedge a defaultable claim one has to invest the value of this contingent claim in the defaultable zero-coupon. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Default risk; representation theorem; hedging (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-003-0108-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:8:y:2004:i:1:p:145-159

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-003-0108-1

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().