Modeling Credit Risk with Partial Information

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dc.creatorCetin, Umut
dc.creatorJarrow, Robert
dc.creatorProtter, Philip
dc.creatorYildirim, Yildiray
dc.date2004-07-05
dc.date.accessioned2026-07-07T12:07:14Z
dc.date.available2026-07-07T12:07:14Z
dc.descriptionThis 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 plus noise. The noise makes default a surprise to the market. In contrast, we obtain a reduced form model by constructing an economy where the market sees a reduction of the manager's information set. The reduced information makes default a surprise to the market. We provide an explicit formula for the default intensity based on an Azema martingale, and we use excursion theory of Brownian motions to price risky debt.
dc.identifierhttps://arxiv.org/abs/math/0407060
dc.identifierhttp://arxiv.org/abs/math/0407060
dc.identifierAnnals of Applied Probability 2004, Vol. 14, No. 3, 1167-1178
dc.identifierdoi:10.1214/105051604000000251
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208901
dc.subjectProbability
dc.subjectRisk Management
dc.subject60H60, 60G46, 91B28. (Primary)
dc.titleModeling Credit Risk with Partial Information
dc.typetext

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