the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search

Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

Kusuoka, Shigeo, "A Remark on Default Risk Models", Advances in Mathematical Economics, Vol. 1, (1999), pp. 69-82.

Summary: We study some mathematical models on default risk. First, we study a "standard model" which is an abstract setting widely used in practice. 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.