A Remark on default risk models

  • Shigeo Kusuoka
Part of the Advances in Mathematical Economics book series (MATHECON, volume 1)


We study some mathematical models on default risk. First, we study a “standard model” which is an abstract setting widely used in parctice. Then we study how the hazard rates changes, if we change a basic probability measure. We show that the usual assumptions on hazard rates hold in a standard model, but do not hold in general if we change a basic measure. Finally we study a filtering model.


Default Risk Credit Spread Prob Ability Predictable Process Credit Derivative 
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Copyright information

© Springer-Verlag 1999

Authors and Affiliations

  • Shigeo Kusuoka
    • 1
  1. 1.Graduate School of Mathematical SciencesUniversity of TokyoMeguro-ku, TokyoJapan

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