Modeling credit risk with partial information

• 成果类型: Article
• 署名作者: Çetin, U; Jarrow, R; Protter, P; Yildirim, Y
• 署名单位: Cornell University; Cornell University; Cornell University; Syracuse University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000251
• 发表日期: 2004
• 页码: 1167-1178
• 关键词: excursions

摘要

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. Duffle 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.