What happens after a default: the conditional density approach

DOI10.1016/j.spa.2010.02.003zbMath1194.91187arXiv0905.0559OpenAlexW2011279645MaRDI QIDQ981009

Nicole El Karoui, Ying Jiao, Monique Jeanblanc-Picqué

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.0559

zbMATH Keywords

credit risk progressive enlargement of filtration conditional default density

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Generalized stochastic processes (60G20) Credit risk (91G40)

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