Frey, Rüdiger, Schmidt, T. 2011. Filtering and Incomplete Information in Credit Risk. In: Recent Advancements in the Theory and Practice of Credit Derivatives, Hrsg. D. Brigo, T. Bielecki, F. Patras, ---. New Jersey: Wiley.
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Abstract
This chapter studies structural and reduced-form credit risk models under incomplete information using techniques from stochastic filtering. We start with a brief introduction to stochastic filtering. Next we cover the pricing of corporate securities (debt and equity) in structural models under partial information. Furthermore we study the construction of a dynamic reduced-form credit risk model via the innovations approach to nonlinear filtering, and we discuss pricing, calibration and hedging in that context. The paper closes with a number of numerical case studies related to model calibration and the pricing of credit index options.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Chapter in edited volume |
Language | English |
Title | Filtering and Incomplete Information in Credit Risk |
Title of whole publication | Recent Advancements in the Theory and Practice of Credit Derivatives |
Editor | D. Brigo, T. Bielecki, F. Patras |
Page from | - |
Page to | - |
Location | New Jersey |
Publisher | Wiley |
Year | 2011 |
Associations
- People
- Frey, Rüdiger (Details)
- External
- Schmidt, T
- Organization
- Institute for Statistics and Mathematics IN (Details)