信用风险风险过程模型中鞅测度的构造
Construction of Martingale Measure in the Hazard Process Model of Credit Risk
摘要：
在信用风险研究文献中，等价鞅测度的存在性被规定为风险过程模型的主要假设之一。在这里，我们通过构造证明了一个测度的存在性，该测度通过确定一个无套利条件，在尽可能弱的意义上，将贴现股票和可违约债券的价格转化为鞅，从而促进了这样的构造。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
