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Information reduction via level crossings in a credit risk model

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  • Robert Jarrow
  • Philip Protter
  • A. Sezer

Abstract

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Suggested Citation

  • Robert Jarrow & Philip Protter & A. Sezer, 2007. "Information reduction via level crossings in a credit risk model," Finance and Stochastics, Springer, vol. 11(2), pages 195-212, April.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:195-212
    DOI: 10.1007/s00780-006-0033-1
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    References listed on IDEAS

    as
    1. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    2. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkiö, 2023. "Optional projection under equivalent local martingale measures," Finance and Stochastics, Springer, vol. 27(2), pages 435-465, April.
    2. Junchi Ma & Mobolaji Ogunsolu & Jinniao Qiu & Ayşe Deniz Sezer, 2023. "Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 666-708, July.
    3. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
    4. Vyacheslav M. Abramov, 2023. "Crossings States and Sets of States in Random Walks," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
    5. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
    6. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkio, 2020. "Optional projection under equivalent local martingale measures," Papers 2003.09940, arXiv.org.
    7. Protter, Philip, 2015. "Strict local martingales with jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1352-1367.
    8. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.

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    More about this item

    Keywords

    Reduced form models; Structural models; Credit risk; Information reduction; Diffusion; Level-crossings; Brownian motion with drift; 60G55; 60G60; G13; D82;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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