Generalized Cox model for default times

Djibril Gueye; Monique Jeanblanc

doi:10.3934/fmf.2022004

Article Contents

2022, Volume 1, Issue 4: 467-489. Doi: 10.3934/fmf.2022004 open access

This issue Previous Article Next Article A characterisation of cross-impact kernels

Generalized Cox model for default times

Djibril Gueye^1, and
Monique Jeanblanc^2, ,

1.
Institut de Recherche en Mathématique Avancée, 7 rue René Descartes, 67084 Strasbourg Cedex, France
2.
Université Paris-Saclay, CNRS, Univ Evry, Laboratoire de Mathématiques et Modélisation d'Evry, 91037, Evry, France

^*Corresponding author: Monique Jeanblanc
^*Corresponding author: Monique Jeanblanc

Received: June 2021

Revised: April 2022

Early access: October 10, 2022

Published online: October 10, 2022

The two authors were supported by 'Chaire Marchés en Mutation', French Banking Federation and ILB, Labex ANR 11-LABX-0019.

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Abstract

In this paper, we present a model in which the default time may coincide with a strictly positive probability with stopping times in the reference filtration. One of the advantages of our construction is that one can choose the sequence of these stopping times.

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Mathematics Subject Classification: Primary: 60G05, 91B05.

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