Conditional Default Probability and Density

N. El Karoui (), M. Jeanblanc (), Y. Jiao () and B. Zargari ()
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N. El Karoui: Université Pierre et Marie Curie, Laboratoire de Probabilités et Modèles Aléatoires
M. Jeanblanc: Université d’Evry-Val-D’Essonne, Laboratoire Analyse et Probabilités
Y. Jiao: Université Claude Bernard-Lyon I, ISFA
B. Zargari: Université d’Evry-Val-D’Essonne, Laboratoire Analyse et Probabilités

A chapter in Inspired by Finance, 2014, pp 201-219 from Springer

Abstract: Abstract We construct explicit models of conditional probability and density processes given a reference filtration for one or several default times. For this purpose, different methods are proposed such as the dynamic copula, change of time, change of probability measure and filtering.

Keywords: Credit risk; Default models; Survival process; Brownian motion; Gaussian copula; Filtering; 91G20; 91G40 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02069-3_9

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DOI: 10.1007/978-3-319-02069-3_9

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