Adv. Math. Econ. Volume 1, pp.69-82 (1999)
A Remark on default risk models
Shigeo Kusuoka
Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba,
Meguro-ku, Tokyo 153-0041, Japan
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We study some mathematical models on default risk. First, we study
a "standard model" which is an abstract setting widely used in parctice. Then we
study how the hazard rates changes, if we change a basic probability measure. We
show that the usual assumptions on hazard rates hold in a standard model, but
do not hold in general if we change a basic measure. Finally we study a filtering
model.
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