Hazard rate for credit risk and hedging defaultable contingent claims

被引：55

作者：

Blanchet-Scalliet, C

Jeanblanc, M

机构：

[1] Univ Nice, CB Lab JA Dieudonne, F-06108 Nice 2, France

[2] Univ Evry Val dEssonne, MJ Equipe Anal & Probabil, F-91025 Evry, France

来源：

FINANCE AND STOCHASTICS | 2004年 / 8卷 / 01期

关键词：

default risk; representation theorem; hedging;

D O I：

10.1007/s00780-003-0108-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide a concise exposition of theoretical results that appear in modeling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a vulnerable claim. Our main result is that, to hedge a defaultable claim one has to invest the value of this contingent claim in the defaultable zero-coupon.

引用

页码：145 / 159

页数：15

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