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Umut Çetin; Jarrow, Robert; Protter, Philip; Yildiray Yildirim
The Annals of applied probability, 08/2004, Letnik: 14, Številka: 3Journal Article
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. Duffie 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 Azéma martingale, and we use excursion theory of Brownian motions to price risky debt.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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