MODELLING AND HEDGING OF DEFAULT RISK Monique Jeanblanc Equipe d’Analyse et Probabilit´ es, Universit´ e d’Evry Val d’Essonne Boulevard Fran¸cois Miterrand, 91025 Evry Cedex, France jeanbl@maths.univ-evry.fr Marek Rutkowski Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa, Poland markrut@mini.pw.edu.pl June 18, 2003 1