LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES

DOI10.1142/S0219024921500333zbMath1484.91502OpenAlexW3200828434MaRDI QIDQ5061487

Nikolaos Karpathopoulos, Ramin Okhrati

Publication date: 11 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500333

zbMATH Keywords

credit riskhazard ratestructural modelslocal risk minimizationdefaultable claimsreduced form modelsFS decompositionrunning infimum process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40)

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