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arXiv · 1611.02952

Unexpected Default in an Information Based Model

Matteo Ludovico Bedini·Rainer Buckdahn·Hans-Jürgen Engelbert
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Abstract

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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Matteo Ludovico Bedini, Rainer Buckdahn, Hans-Jürgen Engelbert. 2016-11-09. Unexpected Default in an Information Based Model. https://arxiv.org/abs/1611.02952

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