CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

Abstract : This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times.
Type de document :
Pré-publication, Document de travail
2009
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https://hal.archives-ouvertes.fr/hal-00402313
Contributeur : Christophette Blanchet-Scalliet <>
Soumis le : samedi 7 novembre 2009 - 17:41:20
Dernière modification le : vendredi 6 février 2015 - 12:49:47
Document(s) archivé(s) le : mercredi 22 septembre 2010 - 13:33:02

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  • HAL Id : hal-00402313, version 2
  • ARXIV : 0907.1221

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Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP. 2009. 〈hal-00402313v2〉

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