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Information reduction via level crossings in a credit risk model

Author

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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. Protter, Philip, 2015. "Strict local martingales with jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1352-1367.
    2. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
    3. 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.
    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. 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.
    6. 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.
    7. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
    8. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkio, 2020. "Optional projection under equivalent local martingale measures," Papers 2003.09940, 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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