Construction of multi-default models with full viability
classification
🧮 math.PR
keywords
modelfullmulti-defaultviabilityassumptionconstructconstructiondrift
read the original abstract
We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use $\natural$-model to construct one such model.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.