On Models of Default Risk

By Robert J. R. Elliott, Monique Jeanblanc, Marc Yor. 2000

291 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6694917ceb785bddafca4bba279485d2baaf362f

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Citations in the corpus

Pricing and trading credit default swaps in a hazard process model (2008, methodology): “2 in [15], or [19]) that under Assumption 2.”
What happens after a default: The conditional density approach (2009, background): “(2) The density hypothesis, and the fact that η is non-atomic allow us to choose αs(s)/Ss as an intensity, instead of αs(s)/Ss− as it is usually done (see [8] in the case where the numerator αs(s) represents the derivative of the compensator of S).”
An essay on the general theory of stochastic processes (2005, methodology): “All the results we shall mention in what follows can be found in [43] (or in [42, 28]) and are particulary useful in mathematical finance ([ 30 ], [40]).”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “(i) Since τ has a positive, continuous and nonincreasing Azéma supermartingale, it is known from Elliot, Jeanblanc, and Yor (2000) that an F-martingale stopped at τ is a G-martingale.”
Credit Risk: Modeling, Valuation And Hedging (2004, background): “A counter-example in Elliott et al. (2000) shows that if condition (G) is not assumed, the continuity of processes Γ and Λ is not sufficient for the equality Γ = Λ.”
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (2007, methodology): “This assumption is taken directly from Elliott, Jeanblanc, and Yor (2000).”
Dynamic asset pricing theory with uncertain time-horizon. (2005, background): “…the cash-flow to a corporate bondholder (see for example Duffie and Lando (2000), Duffie and Singleton (1999), Duffie, Schroder and Skiadas (1996), Elliott, Jeanblanc, and Yor (2000), Jarrow and Turnbull (1995), Lando (1997), Madan and Unal (1998), among many others).3 While there seems to exist…”