Dynamics of multivariate default system in random environment

作者：El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying^*

来源：Stochastic Processes and Their Applications, 2017, 127(12): 3943-3965.

DOI：10.1016/j.spa.2017.03.017

• Multiple defaults
• Prediction process
• Product space and product measure
• Change of probability measure
• Density hypothesis
• Martingale characterization

We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting of enlargement of filtrations and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. Finally, we present a martingale characterization result with respect to the observable information filtration on the market.

• 出版日期2017-12
• 单位北京大学