Abstract
We construct explicit models of conditional probability and density processes given a reference filtration for one or several default times. For this purpose, different methods are proposed such as the dynamic copula, change of time, change of probability measure and filtering.
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This paper is dedicated to our friend Marek, for his birthday. Two of us know Marek since more than 20 years, when we embarked in the adventure of Mathematics for Finance. Our paths diverged, but we always kept strong ties. Thank you, Marek, for all the fruitful discussions we have had. We hope you will find some interest in this paper and the modeling of credit risk we present, and we are looking forward to sharing a enjoyable week in Métabief together, sipping Arbois wine, tasting Jura cheese, walking in the snow, and attending to nice talks.
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El Karoui, N., Jeanblanc, M., Jiao, Y., Zargari, B. (2014). Conditional Default Probability and Density. In: Kabanov, Y., Rutkowski, M., Zariphopoulou, T. (eds) Inspired by Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-02069-3_9
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DOI: https://doi.org/10.1007/978-3-319-02069-3_9
Publisher Name: Springer, Cham
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