Information reduction via level crossings in a credit risk model

被引：15

作者：

Jarrow, Robert A.

Protter, Philip

Sezer, A. Deniz ^{[1
]}

机构：

[1] York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada

[2] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

[3] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

来源：

FINANCE AND STOCHASTICS | 2007年 / 11卷 / 02期

关键词：

reduced form models; structural models; credit risk; information reduction; diffusion; level-crossings; Brownian motion with drift;

D O I：

10.1007/s00780-006-0033-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides an alternative credit risk model based on information reduction where the market only observes the firm's asset value when it crosses certain levels, interpreted as changes significant enough for the firm's management to Make a public announcement. For a class of diffusion processes we are able to provide explicit expressions for the firm's default intensity process and its zero-coupon bond prices.

引用

页码：195 / 212

页数：18

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