On the compensator of the default process in an information-based model

DOI10.1186/S41546-017-0017-4MaRDI QIDQ2296102zbMATH OpenOpenAlexWikidataFDO

Authors Matteo Ludovico Bedini, Rainer Buckdahn, H.-J. Engelbert

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1611.02952

zbMATH Keywords

Brownian bridge on random intervalscompensator processcredit riskdefault timelocal timetotally inaccessible stopping time

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.

Recommendations

• Brownian bridges on random intervals
• On absolutely continuous compensators and nonlinear filtering equations in default risk models
• Default and information
• Characteristics and constructions of default times
• On models of default risk.

Cites work

• Brownian bridges on random intervals
• Credit default prediction and parabolic potential theory
• Default and information
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Cited in

(7)

• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• Brownian bridges on random intervals
• On absolutely continuous compensators and nonlinear filtering equations in default risk models
• Characteristics and constructions of default times
• Credit default prediction and parabolic potential theory
• Information-based approach: pricing of a credit risky asset in the presence of default time
• Stopping times in the filtration of a Brownian motion stopped at its last passage time

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