- Working Paper
In this paper we give a financial justification, based on non arbitrage conditions, of the (H) hypothesis in default time modelling. We also show how the (H) hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations Show more
Journal / seriesWorking Paper Series
SubjectDefault modeling; credit risk models; random times; enlargements of filtrations; immersed filtrations; no arbitrage conditions; equivalent change of measure
Organisational unit03440 - Delbaen, Freddy
03658 - Schweizer, Martin
NotesThis research has been carried out within the NCCR FINRISK project on \'Mathematical Methods in Financial Risk Management\'.
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