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What happens after a default: The conditional density approach by Nicole El Karoui; Monique Jeanblanc; Ying Jiao is a Mathematics article available to read on EtoBox.
What is What happens after a default: The conditional density approach about?
We present a general model for default times, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution of the default only "before the default". This lack of information is crucial while working in a multi-default setting. In a single default case, the knowledge of the intensity process does not allow us to compute the price of defaultable claims, except in the case where the immersion property is satisfied. We propose in this paper a density approach for default times. The density process will give a full characterization of the links between the default time and the reference filtration, in particular "after the default time". We also investigate the description of martingales in the full filtration in terms of martingales in the reference filtration, and the impact of Girsanov transformation on the density and intensity processes, and on the immersion property.
Who reads What happens after a default: The conditional density approach?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Nicole El Karoui; Monique Jeanblanc; Ying Jiao
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4149)
- Published
- 2010
- Language
- EN
- Field
- Mathematics (Physical Sciences)