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Unexpected Default in an Information Based Model

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  • Matteo Ludovico Bedini
  • Rainer Buckdahn
  • Hans-Jurgen Engelbert

Abstract

This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.

Suggested Citation

  • Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert, 2016. "Unexpected Default in an Information Based Model," Papers 1611.02952, arXiv.org.
    • Handle: RePEc:arx:papers:1611.02952
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    File URL: http://arxiv.org/pdf/1611.02952
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    References listed on IDEAS

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    1. Monique Jeanblanc & Marc Yor & Marc Chesney, 2010. "Mathematical Methods for Financial Markets," Finance, Presses universitaires de Grenoble, vol. 31(1), pages 81-85.
    2. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
    3. Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
    4. Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert, 2016. "Brownian Bridges on Random Intervals," Papers 1601.01811, arXiv.org.
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    Cited by:

    1. Bedini, Matteo L. & Hinz, Michael, 2017. "Credit default prediction and parabolic potential theory," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 121-125.

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