英文标题：
《Dynamic Defaultable Term Structure Modelling beyond the Intensity
  Paradigm》
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作者：
Frank Gehmlich and Thorsten Schmidt
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最新提交年份：
2015
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英文摘要：
  The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a unified view on both approaches. This is achieved by studying reduced-form approaches under weak assumptions. In particular we do not assume the global existence of a default intensity and allow default at fixed or predictable times with positive probability, such as coupon payment dates.   In this generalized framework we study dynamic term structures prone to default risk following the forward-rate approach proposed in Heath-Jarrow-Morton (1992). It turns out, that previously considered models lead to arbitrage possibilities when default may happen at a predictable time with positive probability. A suitable generalization of the forward-rate approach contains an additional stochastic integral with atoms at predictable times and necessary and sufficient conditions for a suitable no-arbitrage condition (NAFL) are given. In the view of efficient implementations we develop a new class of affine models which do not satisfy the standard assumption of stochastic continuity.   The chosen approach is intimately related to the theory of enlargement of filtrations, to which we provide a small example by means of filtering theory where the Azema supermartingale contains upward and downward jumps, both at predictable and totally inaccessible stopping times.
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中文摘要：
信用风险的两种主要方法是默顿（1974）提出的结构性方法，以及贾罗和特恩布尔（1995）和阿特兹纳和德尔巴恩（1995）提出的简化形式框架。本文的目标是对这两种方法提供统一的看法。这是通过在弱假设下研究简化形式的方法实现的。特别是，我们不假设全球存在违约强度，并允许在固定或可预测的时间以正概率违约，例如息票支付日期。在这个广义框架中，我们研究了在希思·贾罗·莫顿（Heath Jarrow Morton，1992）提出的远期利率方法之后，容易出现违约风险的动态期限结构。事实证明，以前考虑的模型导致了套利的可能性，当违约可能发生在一个正概率的可预测时间。一个合适的远期利率方法的推广包含了一个额外的随机积分和原子在可预测的时间，并给出了一个合适的无套利条件（NAFL）的充分必要条件。从有效实现的角度出发，我们发展了一类新的仿射模型，它不满足随机连续性的标准假设。所选择的方法与过滤放大理论密切相关，我们通过过滤理论提供了一个小例子，其中Azema supermartingale包含向上和向下的跳跃，在可预测和完全无法到达的停止时间。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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