On Models of Default Risk

Posted: 17 Mar 2001

See all articles by Robert J. Elliott

Robert J. Elliott

University of Calgary - Haskayne School of Business; University of Alberta - Department of Mathematical and Statistical Sciences; University of South Australia

Monique Jeanblanc

Université d'Évry - Departement de Mathematiques

Marc Yor

Universite Paris

Abstract

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset?s filtration, and the intensity of the default time. We finally discuss some examples.

Suggested Citation

Elliott, Robert James and Jeanblanc, Monique and Yor, Marc, On Models of Default Risk. Available at SSRN: https://ssrn.com/abstract=242887

Robert James Elliott (Contact Author)

University of Calgary - Haskayne School of Business ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

University of Alberta - Department of Mathematical and Statistical Sciences ( email )

Edmonton, Alberta T6G 2G1
Canada
403-492-5811 (Phone)
403-492-6826 (Fax)

University of South Australia ( email )

37-44 North Terrace
Adelaide
Australia

Monique Jeanblanc

Université d'Évry - Departement de Mathematiques ( email )

rue du pere Jarlan
F-91025 Evry Cedex
France
33 (0) 1 69 47 02 05/ 02 01 (Phone)
33 (0) 1 69 47 02 18 (Fax)

Marc Yor

Universite Paris ( email )

223 Rue Saint-Honore
Paris, 75775
France

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