An explicit model of default time with given survival probability

DOI10.1016/J.SPA.2011.04.002MaRDI QIDQ555016zbMATH OpenOpenAlexFDO

Authors Shiqi Song, Monique Jeanblanc

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

enlargement of filtrationsurvival probabilitydefault timeexplicit constructioncredit risk modelingCox measureFöllmer measure

Mathematics Subject Classification ID

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

Recommendations

• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• Default times, no-arbitrage conditions and changes of probability measures
• Conditional default probability and density
• What happens after a default: the conditional density approach

Cites work

• scientific article; zbMATH DE number 3638888 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 3366236 (Why is no real title available?)
• An essay on the general theory of stochastic processes
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Progressive enlargement of filtrations with initial times
• Semi-martingales et grossissement d'une filtration
• Study of a filtration expanded to include an honest time
• What happens after a default: the conditional density approach

Cited in

(17)

• Characteristics and constructions of default times
• The dynamic spread of the forward CDS with general random loss
• Random times and multiplicative systems
• The law of large numbers for self-exciting correlated defaults
• Martingale representation property in progressively enlarged filtrations
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• Generalized Cox model for default times
• Random time with differentiable conditional distribution function
• Default times, no-arbitrage conditions and changes of probability measures
• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
• On the stochastic behaviour of optional processes up to random times
• Dynamic defaultable term structure modeling beyond the intensity paradigm
• Progressive enlargements of filtrations with pseudo-honest times
• Conditional default probability and density
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Integral representations of martingales for progressive enlargements of filtrations

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