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- W4300697769 abstract "We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term in the forward rate approach by Heath, Jarrow and Morton (1992). This term is driven by a random measure encoding information about those times where default can happen with positive probability. In this framework, we derive necessary and sufficient conditions for a reference probability measure to be a local martingale measure for the large financial market of credit risky bonds, also considering general recovery schemes." @default.
- W4300697769 created "2022-10-04" @default.
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- W4300697769 date "2016-03-10" @default.
- W4300697769 modified "2023-10-18" @default.
- W4300697769 title "General dynamic term structures under default risk" @default.
- W4300697769 doi "https://doi.org/10.48550/arxiv.1603.03198" @default.
- W4300697769 hasPublicationYear "2016" @default.
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