Density approach in the credit risk modelling
主 题: Density approach in the credit risk modelling
报告人: Dr. Ying JIAO (巴黎七大)
时 间: 2010-08-25 上午10:00 - 11:00
地 点: 理科一号楼 1479
To analyze the impact of a default event, we propose a new credit risk modelling framework which is based on the conditional density of default with respect
to the "default-free" filtration and on the progressive enlargement of filtration. We first distinguish different types of information and clarify the link
with the widely-used credit intensityapproach. We then establish a martingale characterization result in the enlarged filtration which allows to propose
"after-default" density models by using a Girsanov's theorem. Further applications show that this approach is efficient in dealing with counterparty risks
and with multiple defaults.
