Abstract
We provide some extensions of Norros’ lemma for a model with several default times and nontrivial reference filtrations. These results allow a characterization of the filtration immersion properties in terms of the terminal values of compensators of the associated default processes. The method of proof is based on the analysis of properties of exponential martingales associated with the default times.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have