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Defaultable bonds with an infinite number of Lévy factors

Jacek Jakubowski, Mariusz Niewęgłowski (2010)

Applicationes Mathematicae

A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.

Defaultable game options in a hazard process model.

Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)

Journal of Applied Mathematics and Stochastic Analysis

Did bank capital regulation exacerbate the subprime mortgage crisis?

Petersen, M.A., Senosi, M.C., Mukuddem-Petersen, J., Mulaudzi, M.P., Schoeman, I.M. (2009)

Discrete Dynamics in Nature and Society

Die Zufallsverträge in der Wahrscheinlichkeitsrechnung. I

Alfred Tauber (1935)

Aktuárské vědy

Die Zufallsverträge in der Wahrscheinlichkeitsrechnung. II

Alfred Tauber (1935)

Aktuárské vědy

Discriminant analysis of zero recovery for China's NPL.

Tang, Yue, Chen, Hao, Wang, Bo, Chen, Muzi, Chen, Min, Yang, Xiaoguang (2009)

Journal of Applied Mathematics and Decision Sciences

Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity

Thorsten Schmidt, Stefan Tappe (2015)

Banach Center Publications

This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...