A default contagion model for pricing defaultable bonds from an information based perspective

DOI10.1080/14697688.2022.2138776MaRDI QIDQ6101028zbMATH OpenOpenAlexFDO

Authors Hidetoshi Nakagawa, Hideyuki Takada

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2022.2138776

zbMATH Keywords

compensated jump martingalesdefault contagiondefaultable discount bondinformation-based approachstochastic differential equations with jumps

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

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• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Credit risk and contagion via self-exciting default intensity
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• Term Structures of Credit Spreads with Incomplete Accounting Information
• What happens after a default: the conditional density approach

Cited in

(3)

• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
• scientific article; zbMATH DE number 5260096 (Why is no real title available?)
• scientific article; zbMATH DE number 6401340 (Why is no real title available?)

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