Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550491 | Stochastic Processes and their Applications | 2017 | 23 Pages |
Abstract
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting of enlargement of filtrations and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. Finally, we present a martingale characterization result with respect to the observable information filtration on the market.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Nicole El Karoui, Monique Jeanblanc, Ying Jiao,