Immersion Property and Credit Risk Modeling
Immersion Property and Credit Risk Modeling
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沉浸式财产和信用风险建模
DOI：
10.2139/ssrn.1075643
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
M. Jeanblanc
中科院分区：
文献类型：
--
作者：
Yann Lecam;M. Jeanblanc
本文的目的是研究信用风险模型中的沉浸性。通过利用信用事件的渐进知识来扩大参考过滤来构建信用模型已经成为简化形式建模的标准。众所周知，这种构造增加了数学上的困难，主要取决于随机时间的性质。由于没有套利的存在，半鞅性质在扩张过程中的不变性是隐含的，本文讨论了半鞅性质的不变性问题。
The purpose of this paper is to study the immersion property within a credit risk modeling. The construction of a credit model by enlargement of a reference Filtration with the progressive knowledge of a credit event has become a standard for reduced form modeling. It is known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the property of semi-martingale in the enlargement is implied by the absence of arbitrage, we address in this paper the question of the invariance of the martingale property.