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
收藏
页码：145 / 159
页数：14
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