Modeling Credit Risk with Partial Information
نویسندگان
چکیده
منابع مشابه
Modeling Credit Risk with Partial Information
This paper provides an alternative approach to Duffie and Lando [7] 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 ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.2175028