68 citations · 225 across the 22 of their papers we have counts for
Showing 2009 · math.PRShow all
2 papers · 2 filters
math.PR2009
What happens after a default: the conditional density approach
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution…
math.PR2009★ 53 cited
Pricing and trading credit default swaps in a hazard process model
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the i…