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.

RIS

@INBOOK{Frey2011,
title = {Filtering and Incomplete Information in Credit Risk},
author = {Rüdiger Frey and T Schmidt},
publisher = {Wiley},
year = {2011},
address = {New Jersey},
publisher = {Wiley},
language = {EN},
pages = {---},
series = {Recent Advancements in the Theory and Practice of Credit Derivatives},
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.},
}