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Density approach in modelling successive defaults

Abstract : We apply the default density framework developed in El Karoui et al. \cite{ejj1} to modelling of multiple defaults, which can be adapted to both top-down and bottom-up models. We present general pricing results and establish links with the classical intensity approach. Explicit models are also proposed by using the methods of change of probability measure or dynamic copula.
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https://hal.archives-ouvertes.fr/hal-00870492
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Submitted on : Thursday, October 24, 2013 - 9:47:44 PM
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  • HAL Id : hal-00870492, version 1

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Nicole El Karoui, Monique Jeanblanc, Ying Jiao. Density approach in modelling successive defaults. SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2015, 6 (1), pp.1-21. ⟨hal-00870492⟩

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