Information et risque de défaut

Christophette Blanchet-Scalliet; Monique Jeanblanc

Journal de la société française de statistique (2000)

  • Volume: 141, Issue: 1-2, page 87-101
  • ISSN: 1962-5197

How to cite

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Blanchet-Scalliet, Christophette, and Jeanblanc, Monique. "Information et risque de défaut." Journal de la société française de statistique 141.1-2 (2000): 87-101. <http://eudml.org/doc/198969>.

@article{Blanchet2000,
author = {Blanchet-Scalliet, Christophette, Jeanblanc, Monique},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1-2},
pages = {87-101},
publisher = {Société française de statistique},
title = {Information et risque de défaut},
url = {http://eudml.org/doc/198969},
volume = {141},
year = {2000},
}

TY - JOUR
AU - Blanchet-Scalliet, Christophette
AU - Jeanblanc, Monique
TI - Information et risque de défaut
JO - Journal de la société française de statistique
PY - 2000
PB - Société française de statistique
VL - 141
IS - 1-2
SP - 87
EP - 101
LA - fre
UR - http://eudml.org/doc/198969
ER -

References

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  3. [3] BRÉMAUD, P. [ 1981] : Point Processes and Queues. Martingale Dynamics, Springer-Verlag, Berlin. Zbl0478.60004MR636252
  4. [4] BLANCHET-SCALLIET, C. and JEANBLANC, M. [ 2000] Hazard process and default, preprint, Université d'Evry. 
  5. [5] COCOZZA-THIVENT, C. [ 1997] : Processus stochastiques et fiabilité des systèmes, Springer-Smai. Zbl0883.60002MR1619554
  6. [6] DELLACHERIE, C. [ 1970] : Un exemple de la théorie générale des processus, Séminaire de Probabilités IV, Lecture Notes in Math. 124, 60-70, Springer-Verlag, Berlin. Zbl0206.48401MR263157
  7. [7] DELLACHERIE, C. [ 1972] : Capacités et processus stochastiques, Springer-Verlag, Berlin. Zbl0246.60032MR448504
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  10. [10] DUFFIE, D., SCHRODER, M. and SKIADAS, C. [ 1997] : Recursive valuation of defaultable securities and the timing of resolution of uncertainty, Annals of Applied Probability, 6, 1075-1090. Zbl0868.90008MR1422978
  11. [11] ELLIOTT, R.J., JEANBLANC, M. and YOR, M. : On models of default risk, Math, finance, 10, p. 179-196. Zbl1042.91038MR1802597
  12. [12] HULL, J. and WHITE, A. [ 1995] The impact of default risk on the price of options and other derivative securities, Journal of banking and finance, 299-322. 
  13. [13] JARROW, R.A., LANDO, D. and TURNBULL, S.M. [ 1997] : A Markov model for the term structure of credit risk spreads, Review of Financial Studies, 10, 481-523. 
  14. [14] JEANBLANC, M. and RUTKOWSKI, M. : Models for default risk : An overview. Shanghai summer school August 1999. Mathematical finance : theory and practise, Yong J. and Cont R. editors, Higher education press. 
  15. [15] JEANBLANC, M. and RUTKOWSKI, M. [ 2000] Modeling default risk : Mathematical tools. Fixed Income and Credit risk modeling and Management, New York University, Stem scoll of business, Statistics and operations research department, Workshop, May 5. 
  16. [16] KUSUOKA, S. [ 1999] : A remark on default risk models, Advances in Mathematical Economics, 1, 69-82. Zbl0939.60023MR1722700
  17. [17] LANDO, D. [ 1994] : Three essays on contingent claims pricing, Ph. D. Thesis, Cornell university. MR2691019
  18. [18] MADAN, D. and UNAL, H. [ 1998] : Pricing the risk of default, Review of Derivatives Research, 2, 121-160. Zbl1274.91426
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