Hazard rate for credit risk and hedging defaultable contingent claims

084041 (E51,E10) The term structure of i

084041 (E51,E10) The term structure of interest rates: Alternative approaches and their implications for the valuation of contingent claims : Subrahmanyam M.G., The Geneva papers on risk and insurance theory 21 7–28 (1996)

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 176 KB

4 bstracts and Reviews 267 concept of linear stochastic dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one safe-one risky asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They a