IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v12y2008i2p195-218.html
   My bibliography  Save this article

Valuation of default-sensitive claims under imperfect information

Author

Listed:
  • Delia Coculescu
  • Hélyette Geman
  • Monique Jeanblanc

Abstract

No abstract is available for this item.

Suggested Citation

  • Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008. "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, vol. 12(2), pages 195-218, April.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:195-218
    DOI: 10.1007/s00780-007-0060-6
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-007-0060-6
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00780-007-0060-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-625, July.
    2. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    3. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
    4. 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.
    5. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
    6. Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois, 2005. "Market value of life insurance contracts under stochastic interest rates and default risk," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 499-516, June.
    7. Monique Jeanblanc & Stoyan Valchev, 2005. "Partial Information And Hazard Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 807-838.
    8. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
    9. K. Borovkov & Alexander Novikov, 2004. "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series 115, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Fisher, Lawrence, 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 625-627, July.
    11. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
    2. Giorgia Callegaro & Abass Sagna, 2013. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Post-Print hal-00400666, HAL.
    3. Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric, 2022. "A general firm-value model under partial information," LIDAM Reprints LFIN 2022008, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
    5. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    6. Cherubini Umberto & Mulinacci Sabrina & Romagnoli Silvia, 2008. "A lattice model with incomplete information: A credit risk application," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 75-88, March.
    7. Delia Coculescu & Ashkan Nikeghbali, 2008. "Hazard processes and martingale hazard processes," Papers 0807.4958, arXiv.org.
    8. Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.
    9. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Papers 0907.0645, arXiv.org.
    10. 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.
    11. Perko, Igor, 2017. "Behaviour-based short-term invoice probability of default evaluation," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1045-1054.
    12. Rüdiger Frey & Thorsten Schmidt, 2009. "Pricing Corporate Securities Under Noisy Asset Information," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 403-421, July.
    13. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
    14. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014. "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 98-112.
    15. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
    16. Alexander Lipton & Vadim Kaushansky, 2018. "On the First Hitting Time Density of an Ornstein-Uhlenbeck Process," Papers 1810.02390, arXiv.org, revised Oct 2018.
    17. Chi Man Leung & Yue Kuen Kwok, 2017. "NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-22, November.
    18. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
    19. repec:hal:wpaper:hal-00400666 is not listed on IDEAS
    20. Cheikh Mbaye & Abass Sagna & Fr'ed'eric Vrins, 2019. "Conditional survival probabilities under partial information: a recursive quantization approach with applications," Papers 1909.01970, arXiv.org.
    21. Rüdiger Frey & Thorsten Schmidt, 2012. "Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering," Finance and Stochastics, Springer, vol. 16(1), pages 105-133, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:dau:papers:123456789/2191 is not listed on IDEAS
    2. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
    3. Ballestra, Luca Vincenzo & Pacelli, Graziella & Radi, Davide, 2020. "Modeling CDS spreads: A comparison of some hybrid approaches," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 107-124.
    4. Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
    5. Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
    6. Hayne E. Leland., 1998. "Agency Costs, Risk Management, and Capital Structure," Research Program in Finance Working Papers RPF-278, University of California at Berkeley.
    7. Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020. "Specification Analysis of Structural Credit Risk Models [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, vol. 24(1), pages 45-98.
    8. Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
    9. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
    10. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    11. Davide Radi & Vu Phuong Hoang & Gabriele Torri & Hana Dvořáčková, 2021. "A revised version of the Cathcart & El-Jahel model and its application to CDS market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 669-705, December.
    12. Luca Benzoni & Lorenzo Garlappi & Robert Goldstein, 2023. "Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads," Management Science, INFORMS, vol. 69(7), pages 4331-4352, July.
    13. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    14. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
    15. Jianping Fu & Xingchun Wang & Yongjin Wang, 2012. "Credit spreads, endogenous bankruptcy and liquidity risk," Computational Management Science, Springer, vol. 9(4), pages 515-530, November.
    16. Thorsten Schmidt & Alexander Novikov, 2008. "A Structural Model with Unobserved Default Boundary," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 183-203.
    17. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
    18. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
    19. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
    20. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
    21. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.

    More about this item

    Keywords

    Imperfect information; Default time; Hazard process; 60G35; 91B29; 91B26; G12; G13;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:195-218. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.