Credit Risk with Incomplete Information
This paper extends the hybrid credit risk model proposed by 3 to an totally incomplete information case by assuming a stochastic default barrier which is unobservable. Although the model employed here is based on a first passage time model, information reduction on the firms asset value as well as the default barrier remedies shortcomings that exist in the traditional one, and thus provides a more realistic setup. Furthermore, as it is a combination of structural and reducedform models, it is possible to apply methodology of both approaches. Our goal is to derive the bankruptcy intensity in an explicit form.
creditrisk hybridmodel incompleteinformation intensity Brownianbridge
YI ZHOU
Graduate School of Economics Hitotsubashi University Tokyo, JAPAN
国际会议
广州
英文
1-4
2011-05-13（万方平台首次上网日期，不代表论文的发表时间）