Hazard rate for credit risk and hedging defaultable contingent claims

被引：55
|
作者：
Blanchet-Scalliet, C
Jeanblanc, M
机构：
[1] Univ Nice, CB Lab JA Dieudonne, F-06108 Nice 2, France
[2] Univ Evry Val dEssonne, MJ Equipe Anal & Probabil, F-91025 Evry, France
来源：
FINANCE AND STOCHASTICS | 2004年 / 8卷 / 01期
关键词：
default risk; representation theorem; hedging;
D O I：
10.1007/s00780-003-0108-1
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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：15
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