CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION
نویسندگان
چکیده
منابع مشابه
Credit risk and incomplete information: filtering and EM parameter estimation
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of OTC products coherently with information from the financial market, in particular yields and credit ...
متن کاملCredit risk and incomplete information: linear filtering and EM parameter estimation
We consider a reduced-form credit risk model where default intensity and interest rate are linear functions of a not fully observable Markovian factor process. We determine arbitragefree prices of OTC products coherently with information from the financial market, in particular yields and credit spreads and this can be accomplished via a linear filtering approach coupled with an EM -algorithm f...
متن کاملFiltering and Incomplete Information in Credit Risk
This chapter studies structural and reduced-form credit risk models under incomplete information using techniques from stochastic filtering. We start with a brief introduction to stochastic filtering. Next we cover the pricing of corporate securities (debt and equity) in structural models under partial information. Furthermore we study the construction of a dynamic reduced-form credit risk mode...
متن کاملthe study of practical and theoretical foundation of credit risk and its coverage
پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
15 صفحه اولCredit Risk Models with Incomplete Information
Incomplete information is at the heart of information-based credit risk models. In this paper, we rigorously define incomplete information with the notion of “delayed filtrations”. We characterize two distinct types of delayed information, continuous and discrete: the first generated by a time change of filtrations and the second by finitely many marked point processes. This notion unifies the ...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2010
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024910005966