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arxiv: 1611.02952 · v1 · pith:42CZUIECnew · submitted 2016-11-09 · 🧮 math.PR · q-fin.MF

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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