A Filtering Model on Default Risk
A Filtering Model on Default Risk
复制标题
违约风险过滤模型
DOI：
--
复制
发表时间：
2001
期刊：
影响因子：
--
通讯作者：
H. Nakagawa
中科院分区：
文献类型：
--
作者：
H. Nakagawa
本文给出了一个与数学金融有关的违约风险的过滤模型。我们把从某个正数开始且不能直接观察到的一维过程在零点的第一次命中时间视为违约发生的时间。讨论了不完全信息下命中时间的条件性。利用参考度量变换技术和一种条件期望的新公式，得到了一个所谓的风险率过程。并讨论了危险率过程与命中时间条件律之间的关系。
In this paper, we present a filtering model on a default risk related to mathematical finance. We regard as the time when a default occurs the first hitting time at zero of a one dimensional process which starts at some positive number and is not directly observed. We discuss the conditional law of the hitting time under imperfect information. We use the reference measure change technique and a new formula on a kind of conditional expectation to obtain a so-called hazard rate process. It is also discussed what the relation between the hazard rate process and the conditional law of the hitting time is like.