## Multiple defaults and contagion risks

*Jiao, Ying*;

- Publisher: HAL CCSD
- Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | Mathematics - Probability | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

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[1] Bielecki, T., M. Jeanblanc and M. Rutkowski (2008): “Pricing and trading credit default swaps in a hazard process model”, Annals of Applied Probability, 18(6), 2495-2529.

[2] Crauel, H. (2002): Random Probability Measures on Polish Spaces, Stochastics Monographs 11, Taylor and Francis.

[3] Ehlers P. and P. Scho¨nbucher (2009), “Background filtrations and canonical loss processes for top-down models of portfolio credit risk”, Finance and Stochastics, 13(1), 79-103.

[4] El Karoui, N., M. Jeanblanc. and Y. Jiao (2009): “What happens after a default: the conditional density approach”, to appear in Stochastic Processes and Their Applications.

[5] El Karoui, N., M. Jeanblanc. and Y. Jiao (2009): “Modelling successive defaults”, preprint.

[6] Elliott, R., M. Jeanblanc and M. Yor (2000): “On models of default risk”, Mathematical Finance, 10, 179-195.

[7] Jacod, J. (1985): “Grossissement initial, hypoth`ese (H') et th´eor`eme de Girsanov”, Lecture notes 1118, 15-35, Springer.

[8] Jacod, J. and A. Shiryaev (2003): Limit Theorems for Stochastic Processes, Second Edition, Springer.

[9] Jeulin, T. and M. Yor (1978): “Grossissement d'une filtration et semi-martingales: formules explicites”, S´eminaire de Probabilit´e XII, Lecture notes in Mathematics 649, 78-97. Springer.

[10] Jiao, Y., personal communications to H. Pham, April 2009.

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