Adv. Math. Econ. Volume 1, pp.6982 (1999)
A Remark on default risk models
Shigeo Kusuoka
Graduate School of Mathematical Sciences, University of Tokyo, 381 Komaba,
Meguroku, Tokyo 1530041, Japan


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.