An explicit model of default time with given survival probability

DOI10.1016/j.spa.2011.04.002zbMath1298.91176OpenAlexW2056866308MaRDI QIDQ555016

Shiqi Song, Monique Jeanblanc-Picqué

Publication date: 22 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.04.002

zbMATH Keywords

survival probabilityenlargement of filtrationFöllmer measuredefault timeexplicit constructioncredit risk modelingCox measure

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items (12)

Random Time with Differentiable Conditional Distribution Function ⋮ Conditional Default Probability and Density ⋮ Integral representations of martingales for progressive enlargements of filtrations ⋮ Random times and multiplicative systems ⋮ The law of large numbers for self-exciting correlated defaults ⋮ Characteristics and Constructions of Default Times ⋮ The dynamic spread of the forward CDS with general random loss ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Martingale representation property in progressively enlarged filtrations ⋮ Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ On the stochastic behaviour of optional processes up to random times

Cites Work

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• An essay on the general theory of stochastic processes
• What happens after a default: the conditional density approach
• Semi-martingales et grossissement d'une filtration
• Progressive enlargement of filtrations with initial times
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Study of a filtration expanded to include an honest time

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