Density models for credit risk
Speaker:
Monique Jeanblanc
Date and Time:
Tuesday, May 25, 2010 - 9:00am to 9:40am
Location:
Fields Institute, Room 230
Abstract:
We present a model of default times based on the conditional law of defaults. We show in particular that, in that general framework, the intensity does not contain all the needed information. In case of a single default, this model can be interpreted as an extension of the Cox model, where the barrier depends on the reference filtration. The extension of our study to several defaults can be viewed as a dynamic copula approach.