Credit risk with asymmetric information on the default threshold

DOI10.1080/17442508.2011.575944zbMath1251.91066OpenAlexW2028114670MaRDI QIDQ4648582

Ying Jiao, Caroline Hillairet

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.575944

zbMATH Keywords

credit riskenlargement of filtrationinsider

Mathematics Subject Classification ID

Related Items (3)

Optional projection under equivalent local martingale measures ⋮ Portfolio optimization with insider's initial information and counterparty risk ⋮ Successive enlargement of filtrations and application to insider information

Cites Work

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• Valuation of default-sensitive claims under imperfect information
• Default and information
• Additional utility of insiders with imperfect dynamical information
• Modeling credit risk with partial information.
• On Models of Default Risk
• Insider Trading in a Continuous Time Market Model
• Term Structures of Credit Spreads with Incomplete Accounting Information
• PARTIAL INFORMATION AND HAZARD PROCESS
• Credit risk: Modelling, valuation and hedging

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