2016/11/09 by Matteo Ludovico Bedini, Bedini, Matteo Ludovico, Rainer Buckdahn +3
Economics, Econometrics and Finance · Decision Sciences · #Credit Risk and Financial Regulations #Stochastic processes and financial applications #Probability and Risk Models
paper · pdf · doi:10.48550/arxiv.1611.02952
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.