Information reduction via level crossings in a credit risk models

DOI10.1007/s00780-006-0033-1zbMath1143.91031OpenAlexW2030195324MaRDI QIDQ2463710

Robert A. Jarrow, Philip E. Protter, A. Deniz Sezer

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0033-1

zbMATH Keywords

diffusionBrownian motion with driftcredit riskinformation reductionstructural modelsreduced form modelslevel-crossings

Mathematics Subject Classification ID

Related Items (10)

Filtration shrinkage by level-crossings of a diffusion ⋮ Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information ⋮ Crossings states and sets of states in random walks ⋮ From the decompositions of a stopping time to risk premium decompositions ⋮ Optional projection under equivalent local martingale measures ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set ⋮ ABSOLUTELY CONTINUOUS COMPENSATORS ⋮ Strict local martingales with jumps ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure

Cites Work

• Modeling credit risk with partial information.
• Filtration shrinkage by level-crossings of a diffusion
• Credit Risk Models with Incomplete Information
• Credit Risk Modeling
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging
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