On models of default risk

被引：117
作者：
Elliott, RJ
Jeanblanc, M
Yor, M
机构：
[1] Univ Evry Val Essonne, Equipe Analyse & Probabilites, F-91025 Evry, France
[2] Univ Alberta, Edmonton, AB T6G 2M7, Canada
来源：
MATHEMATICAL FINANCE | 2000年 / 10卷 / 02期
关键词：
default risk; enlargement of filtrations;
D O I：
10.1111/1467-9965.00088
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
引用
收藏
页码：179 / 195
页数：17
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