RECURSIVE VALUATION OF DEFAULTABLE SECURITIES AND THE TIMING OF RESOLUTION OF UNCERTAINTY

被引：7

作者：

Duffie, Darrell ^{[1
]}

Schroder, Mark ^{[2
]}

Skiadas, Costis ^{[3
]}

机构：

[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

[2] SUNY Buffalo, Sch Management, Buffalo, NY 14260 USA

[3] Northwestern Univ, JL Kellogg Grad Sch Management, Evanston, IL 60208 USA

来源：

ANNALS OF APPLIED PROBABILITY | 1996年 / 6卷 / 04期

关键词：

Default; credit risk; backward stochastic differential equations; timing of resolution of uncertainty;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1075 / 1090

页数：16

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