A Remark on default risk models
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.
KeywordsDefault Risk Credit Spread Prob Ability Predictable Process Credit Derivative
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