What happens after a default: the conditional density approach (Q981009)

A general model for default times is presented, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution of the default only ``before the default''. In this paper a density approach is proposed for default times. The density process will give a full characterization of the links between the default time and the reference filtration, in particular ``after the default time''. Investigation of the description of martingales in the full filtration in terms of martingales in the reference filtration, and the impact of Girsanov transformation on the density and intensity processes, and on the immersion property are done.