Quotation 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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Publication's profile

Status of publication Published
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

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People
Frey, Rüdiger (Details)
External
Schmidt, T
Organization
Institute for Statistics and Mathematics IN (Details)
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