Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims

by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne

November 4, 2002

Abstract: We provide a concise exposition of theoretical results that appear in modelling 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 defaultable claim.

JEL Classification: G10.

AMS Classification: 91B24, 91B29, 60G46.

Keywords: Default risk, representation theorem, hedging.

Published in: Finance and Stochastics, Vol. 8, No. 1, (January 2004), pp. 145-159.

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