Summary
We study some mathematical models on default risk. First, we study a “standard model” which is an abstract setting widely used in parctice. Then we study how the hazard rates changes, if we change a basic probability measure. We show that the usual assumptions on hazard rates hold in a standard model, but do not hold in general if we change a basic measure. Finally we study a filtering model.
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© 1999 Springer-Verlag
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Kusuoka, S. (1999). A Remark on default risk models. In: Kusuoka, S., Maruyama, T. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 1. Springer, Tokyo. https://doi.org/10.1007/978-4-431-65895-5_5
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DOI: https://doi.org/10.1007/978-4-431-65895-5_5
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-65897-9
Online ISBN: 978-4-431-65895-5
eBook Packages: Springer Book Archive