A Filtering Model on Default Risk
نویسندگان
چکیده
منابع مشابه
Default risk in a market model
This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...
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ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 2001
ISSN: 2188-4730,2188-4749
DOI: 10.5687/sss.2001.231