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Information Asymmetry in Pricing of Credit Derivatives

Author

Listed:
  • Caroline Hillairet

    (CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Ying Jiao

    (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique)

Abstract

We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are distinguished using the framework of enlargement of filtrations. We specify risk neutral probabilities and we evaluate default sensitive contingent claims in these cases.

Suggested Citation

  • Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    • Handle: RePEc:hal:wpaper:hal-00457456
    Note: View the original document on HAL open archive server: https://hal.science/hal-00457456
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    References listed on IDEAS

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    Cited by:

    1. Imke Redeker & Ralf Wunderlich, 2019. "Credit risk with asymmetric information and a switching default threshold," Papers 1910.14413, arXiv.org, revised Nov 2019.
    2. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.

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