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ArticleWhat happens after a default: The conditional density approach

Nicole El Karoui2010

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Articlebronze2010

What happens after a default: The conditional density approach

Nicole El Karoui · Monique Jeanblanc · Ying Jiao

110 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Credit Risk and Financial Regulations Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 1998On cox processes and credit risky securities 1997Martingale Methods in Financial Modelling 2003Credit Derivatives Pricing Models 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation 1980Semi-Martingales et Grossissement d’une Filtration 2000On Models of Default Risk 1999A Remark on default risk models

Cited by

2010Optimal investment with counterparty risk: a default-density model approach 2010Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management 2013Optimal investment under multiple defaults risk: A BSDE-decomposition approach 2012CONDITIONAL DENSITY MODELS FOR ASSET PRICING 2015Martingale representation property in progressively enlarged filtrations 2011Carthaginian enlargement of filtrations

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Year2010

Typearticle

Published2010-02-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations110

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.02.003

openalex_workW2011279645

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2011

An explicit model of default time with given survival probability

2012Default times, no-arbitrage conditions and changes of probability measures