Corpus ID: 201646548

Construction of Martingale Measure in the Hazard Process Model of Credit Risk

@inproceedings{Capinski2019ConstructionOM,
  title={Construction of Martingale Measure in the Hazard Process Model of Credit Risk},
  author={Marek Capinski and Tomasz Zastawniak},
  year={2019}
}
  • Marek Capinski, Tomasz Zastawniak
  • Published 2019
  • Economics
  • In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock and defaultable bond prices into martingales by identifying a no-arbitrage condition, in as weak a sense as possible, which facilitates such a construction. 

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