Credit risk and asymmetric information: a simplified approach

DOI10.1016/j.jedc.2013.11.006zbMath1402.91853OpenAlexW2111517834MaRDI QIDQ1994373

Snorre Lindset, Svein-Arne Persson, Arne-Christian Lund

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.11.006

zbMATH Keywords

incomplete informationcredit spreadsdefault policy

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

Credit risk contagion based on asymmetric information association

Cites Work

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• Term structure modelling of defaultable bonds
• Bayesian analysis of structural credit risk models with microstructure noises
• Valuation of default-sensitive claims under imperfect information
• Default and information
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• Credit Risk Models with Incomplete Information
• Term Structures of Credit Spreads with Incomplete Accounting Information
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Credit risk: Modelling, valuation and hedging

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