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- Title
Information reduction via level crossings in a credit risk model.
- Authors
Jarrow, Robert A.; Protter, Philip; Sezer, A. Deniz
- Abstract
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.
- Subjects
MARKETS; BOND prices; BUSINESS enterprises; COUPONS (Retail trade); FINANCE; STOCHASTIC analysis
- Publication
Finance & Stochastics, 2007, Vol 11, Issue 2, p195
- ISSN
0949-2984
- Publication type
Article
- DOI
10.1007/s00780-006-0033-1