Matches in SemOpenAlex for { <https://semopenalex.org/work/W1506403397> ?p ?o ?g. }
Showing items 1 to 95 of
95
with 100 items per page.
- W1506403397 abstract "The occurrence of some events can impact asset prices and produce losses. The amplitude of these losses are partly determined by the degree of predictability of those events by the market investors, as risk premiums build up in an asset price as a compensation of the anticipated losses. The aim of this paper is to propose a general framework where these phenomena can be properly defined and quantified.Our focus are the default events and the defaultable assets, but the framework could apply to any event whose occurrence impacts some asset prices.We provide the general construction of a default time under the so called (H) hypothesis, which reveals a useful way in which default models can be built, using both market factors and idiosyncratic factors. All the relevant characteristics of a default time (i.e. the Azema supermartingale and its Doob-Meyer decomposition) are explicitly computed given the information about these factors.We then define the default event risk premiums and the default adjusted probability measure. These concepts are useful for pricing defaultable claims in a framework that includes possible economic shocks, such as jumps of the recovery process or of some default-free assets at the default time. These formulas are not classic and we point out that the knowledge of the default compensator (or the intensity process when the default time is totally inaccessible) is not a sufficient quantity for finding explicit prices; the Azema supermartingale and its Doob-Meyer decomposition are needed. The progressive enlargement of a filtration framework is the right tool for pricing defaultable claims in non standard frameworks where non defaultable assets or recovery processes may react at the default event." @default.
- W1506403397 created "2016-06-24" @default.
- W1506403397 creator A5028469511 @default.
- W1506403397 date "2017-06-01" @default.
- W1506403397 modified "2023-09-28" @default.
- W1506403397 title "From the decompositions of a stopping time to risk premium decompositions" @default.
- W1506403397 cites W137364738 @default.
- W1506403397 cites W1484693449 @default.
- W1506403397 cites W1507616993 @default.
- W1506403397 cites W177735379 @default.
- W1506403397 cites W1942746312 @default.
- W1506403397 cites W1966494537 @default.
- W1506403397 cites W1974390533 @default.
- W1506403397 cites W1995522593 @default.
- W1506403397 cites W2009488837 @default.
- W1506403397 cites W2037430462 @default.
- W1506403397 cites W2043034463 @default.
- W1506403397 cites W2049022910 @default.
- W1506403397 cites W2057853952 @default.
- W1506403397 cites W2076458153 @default.
- W1506403397 cites W2085897656 @default.
- W1506403397 cites W2116377997 @default.
- W1506403397 cites W2118891973 @default.
- W1506403397 cites W2140878266 @default.
- W1506403397 cites W2146630941 @default.
- W1506403397 cites W2324734891 @default.
- W1506403397 cites W3122859723 @default.
- W1506403397 cites W1968969574 @default.
- W1506403397 cites W3122084409 @default.
- W1506403397 doi "https://doi.org/10.1051/proc/201756001" @default.
- W1506403397 hasPublicationYear "2017" @default.
- W1506403397 type Work @default.
- W1506403397 sameAs 1506403397 @default.
- W1506403397 citedByCount "3" @default.
- W1506403397 countsByYear W15064033972015 @default.
- W1506403397 countsByYear W15064033972017 @default.
- W1506403397 countsByYear W15064033972021 @default.
- W1506403397 crossrefType "journal-article" @default.
- W1506403397 hasAuthorship W1506403397A5028469511 @default.
- W1506403397 hasBestOaLocation W15064033971 @default.
- W1506403397 hasConcept C105795698 @default.
- W1506403397 hasConcept C121332964 @default.
- W1506403397 hasConcept C149782125 @default.
- W1506403397 hasConcept C151541453 @default.
- W1506403397 hasConcept C162324750 @default.
- W1506403397 hasConcept C197640229 @default.
- W1506403397 hasConcept C2779662365 @default.
- W1506403397 hasConcept C33923547 @default.
- W1506403397 hasConcept C38652104 @default.
- W1506403397 hasConcept C41008148 @default.
- W1506403397 hasConcept C62520636 @default.
- W1506403397 hasConcept C76178495 @default.
- W1506403397 hasConceptScore W1506403397C105795698 @default.
- W1506403397 hasConceptScore W1506403397C121332964 @default.
- W1506403397 hasConceptScore W1506403397C149782125 @default.
- W1506403397 hasConceptScore W1506403397C151541453 @default.
- W1506403397 hasConceptScore W1506403397C162324750 @default.
- W1506403397 hasConceptScore W1506403397C197640229 @default.
- W1506403397 hasConceptScore W1506403397C2779662365 @default.
- W1506403397 hasConceptScore W1506403397C33923547 @default.
- W1506403397 hasConceptScore W1506403397C38652104 @default.
- W1506403397 hasConceptScore W1506403397C41008148 @default.
- W1506403397 hasConceptScore W1506403397C62520636 @default.
- W1506403397 hasConceptScore W1506403397C76178495 @default.
- W1506403397 hasLocation W15064033971 @default.
- W1506403397 hasLocation W15064033972 @default.
- W1506403397 hasLocation W15064033973 @default.
- W1506403397 hasLocation W15064033974 @default.
- W1506403397 hasLocation W15064033975 @default.
- W1506403397 hasOpenAccess W1506403397 @default.
- W1506403397 hasPrimaryLocation W15064033971 @default.
- W1506403397 hasRelatedWork W1454038227 @default.
- W1506403397 hasRelatedWork W1493031964 @default.
- W1506403397 hasRelatedWork W1493576145 @default.
- W1506403397 hasRelatedWork W1525068307 @default.
- W1506403397 hasRelatedWork W1590365127 @default.
- W1506403397 hasRelatedWork W1962924471 @default.
- W1506403397 hasRelatedWork W2047078686 @default.
- W1506403397 hasRelatedWork W2075181260 @default.
- W1506403397 hasRelatedWork W2104874472 @default.
- W1506403397 hasRelatedWork W2131298106 @default.
- W1506403397 hasRelatedWork W2159869594 @default.
- W1506403397 hasRelatedWork W2183579265 @default.
- W1506403397 hasRelatedWork W2186328685 @default.
- W1506403397 hasRelatedWork W2379528402 @default.
- W1506403397 hasRelatedWork W2520781345 @default.
- W1506403397 hasRelatedWork W2579044274 @default.
- W1506403397 hasRelatedWork W2883984716 @default.
- W1506403397 hasRelatedWork W3015414157 @default.
- W1506403397 hasRelatedWork W3121333229 @default.
- W1506403397 hasRelatedWork W3201313128 @default.
- W1506403397 isParatext "false" @default.
- W1506403397 isRetracted "false" @default.
- W1506403397 magId "1506403397" @default.
- W1506403397 workType "article" @default.