We derive the implications of default risk for valuation of
securities in an abstract setting in which the fractional default recovery rate
and the hazard rate for default may depend on the market value of the
instrument itself, or on the market values of other instruments issued by the
same entity (which are determined simultaneously). A key technique is the use
of backward recursive stochastic integral equations. We characterize the
dependence of the market value on the manner of resolution of uncertainty, and
in particular give conditions for monotonicity of value with respect to the
information filtration.
Publié le : 1996-11-14
Classification:
Default,
credit risk,
backward stochastic differential equations,
timing of resolution of uncertainty,
90A09,
60H20
@article{1035463324,
author = {Duffie, Darrell and Schroder, Mark and Skiadas, Costis},
title = {Recursive valuation of defaultable securities and the timing of
resolution of uncertainty},
journal = {Ann. Appl. Probab.},
volume = {6},
number = {1},
year = {1996},
pages = { 1075-1090},
language = {en},
url = {http://dml.mathdoc.fr/item/1035463324}
}
Duffie, Darrell; Schroder, Mark; Skiadas, Costis. Recursive valuation of defaultable securities and the timing of
resolution of uncertainty. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp. 1075-1090. http://gdmltest.u-ga.fr/item/1035463324/