Generalized density approach in progressive enlargement of filtrations

Abstract : Motivated by credit risk modelling, we consider a type of default times whose probability law can have atoms, where standard intensity and density hypotheses in the enlargement of filtrations is not satisfied. We propose a generalized density approach in order to treat the predictable part of such random times in the framework of progressive enlargement of filtrations. We determine the compensator process of the random time and study the martingale and semimartingale processes in the enlarged filtration which are important for the change of probability measures and the evaluation of credit derivatives. The generalized density approach can also be applied to model simultaneous default events in the multi-default setting.
Type de document :
Pré-publication, Document de travail
2014
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00942130
Contributeur : Ying Jiao <>
Soumis le : mardi 4 février 2014 - 16:59:59
Dernière modification le : lundi 29 mai 2017 - 14:23:46
Document(s) archivé(s) le : lundi 5 mai 2014 - 08:20:12

Fichiers

generalised_v6.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00942130, version 1

Collections

Citation

Ying Jiao, Shanqiu Li. Generalized density approach in progressive enlargement of filtrations. 2014. <hal-00942130>

Partager

Métriques

Consultations de
la notice

154

Téléchargements du document

116