DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM

DOI10.1111/mafi.12138zbMath1403.91361arXiv1411.4851OpenAlexW2963188627MaRDI QIDQ4635039

Frank Gehmlich, Thorsten Schmidt

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.4851

zbMATH Keywords

filteringcredit riskreduced-form approachstructural approachaffine processesAzéma supermartingaleforward rateHJM

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Generalized Cox model for default times ⋮ The martingale problem method revisited ⋮ Term structure modeling with overnight rates beyond stochastic continuity ⋮ From the decompositions of a stopping time to risk premium decompositions ⋮ Characteristics and Constructions of Default Times ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ A Generalized Intensity-Based Framework for Single-Name Credit Risk ⋮ Affine processes beyond stochastic continuity ⋮ No Arbitrage Theory for Bond Markets ⋮ Term structure modelling for multiple curves with stochastic discontinuities ⋮ On the existence of sure profits via flash strategies ⋮ PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE

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