2009/12/16 by Ying Jiao, Jiao, Ying
Economics, Econometrics and Finance · Mathematics · #Banking stability, regulation, efficiency #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #q-fin.PM
paper · pdf · doi:10.48550/arxiv.0912.3132
arxiv created 2009/12/16 · openalex publication_date 2009/12/16 · arxiv updated 2010/01/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scenario, the formula can be interpreted as a Radon-Nikodym derivative of random measures. The contagion risks are studied in the multi-defaults setting where we consider the optimal investment problem in a contagion risk model and show that the optimization can be effectuated in a recursive manner with respect to the default-free filtration.