Unexpected Default in an Information Based Model
classification
🧮 math.PR
q-fin.MF
keywords
timedefaultinformationprovidesbankruptcybridgebrowniancompany
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This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.
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