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| 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. |
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