DefaultRisk.com the web's biggest credit risk modeling resource.

Home Store Glossary Links Site Guide Search
pp_model_91

Up

Submit Your Paper

Post Your Résumé

For Recruiters

Today's Featured Book

Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors
Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors

by Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi, Wiley, April 25, 2008, Hardcover, 524 pages

Fitch Quantitative Financial Research (QFR)
Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM
Sponsor:
Shop at Amazon.com and support DefaultRisk.com

In Rememberance: World Trade Center (WTC)

Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims

by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne

November 4, 2002

Abstract: We provide a concise exposition of theoretical results that appear in modelling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a defaultable claim.

JEL Classification: G10.

Mathematics Subject Classification: 91B24, 91B29, 60G46.

Keywords: Default risk, representation theorem, hedging.

Published in: Finance and Stochastics, Vol. 8, No. 1, (January 2004), pp. 145-159.

Books Referenced in this Paper:  (what is this?)

Download paper (176K PDF) 14 pages

Modeling books at amazon.com

[Home] [Credit Modeling Papers]

Support DefaultRisk.com by shopping at Amazon.com

 

 

Home ] Up ]

Please contact me with problems or suggestions.
Copyright © 2000-2008 DefaultRisk.com
Last modified: October 06, 2008