Hazard rate for credit risk and hedging defaultable contingent claims

被引：0

作者：

Christophette Blanchet-Scalliet

Monique Jeanblanc

机构：

[1] Universite de Nice Sophia-Antipolis,C.B. Laboratoire J.A.Dieudonne

[2] Université d’Evry Val d’Essonne,M.J. Equipe d’analyse et probabilités

来源：

Finance and Stochastics | 2004年 / 8卷

关键词：

Default risk; representation theorem; hedging;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We provide a concise exposition of theoretical results that appear in modeling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a vulnerable claim. Our main result is that, to hedge a defaultable claim one has to invest the value of this contingent claim in the defaultable zero-coupon.

引用

页码：145 / 159

页数：14

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