Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
by Christophette Blanchet-Scalliet of the UniversitÚ d'╔vry Val dEssonne, and
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.
Keywords: Default risk, representation theorem, hedging.
Published in: Finance and Stochastics, Vol. 8, No. 1, (January 2004), pp. 145-159.