Modeling Credit Risk with Partial Information

This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set pl...

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Veröffentlicht in:	The Annals of applied probability 2004-08, Vol.14 (3), p.1167-1178
Hauptverfasser:	Umut Çetin, Jarrow, Robert, Protter, Philip, Yildiray Yildirim
Format:	Artikel
Sprache:	eng
Schlagworte:	60G46 60H60 91B28 Azéma martingale Brownian excursions Cash Credit risk default distribution Default risk Economic models Financial management Information management Information retrieval noise Martingales Signal noise Stopping distances Zero coupon bonds
Online-Zugang:	Volltext
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