2012/01/27 by José Manuel Corcuera, J. M. Corcuera, Corcuera, J. M. +2
Economics, Econometrics and Finance · Mathematics · #60-02 #60G44 #62B10 #91-02 #91G40 #Banking stability, regulation, efficiency #Credit Risk and Financial Regulations #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60-02 #msc:60G44 #msc:62B10 #msc:91-02 #msc:91G40
paper · pdf · doi:10.48550/arxiv.1201.5870
arxiv created 2012/01/27 · openalex publication_date 2012/01/27 · arxiv updated 2012/01/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we review some old and new results about the enlargement of filtrations problem, as well as their applications to credit risk and insider trading problems. The enlargement of filtrations problem consists in the study of conditions under which a semimartingale remains a semimartingale when the filtration is enlarged, and, in such a case, how to find the Doob-Meyer decomposition. Filtrations may be enlarged in different ways. In this paper we consider initial and progressive filtration enlargements made by random variables and processes. Keywords: Credit Risk, Insider Trading, Enlargement of Filtrations