Default risk insurance and incomplete markets. (English) Zbl 0866.90047

Summary: This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.


91B30 Risk theory, insurance (MSC2010)
91B24 Microeconomic theory (price theory and economic markets)
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