Credit risk and asymmetric information: A simplified approach
We present a simple model for risky, corporate debt. Debtholders and equityholders have
incomplete information about the financial state of the debt issuing company. Information is …
incomplete information about the financial state of the debt issuing company. Information is …
Credit risk valuation with rating transitions and partial information
D Hainaut, CY Robert - … Journal of Theoretical and Applied Finance, 2014 - World Scientific
This work intends to shed some light on a new use of Phase-type distributions in credit risk,
taking into account different flows of information without huge numerical calculations. We …
taking into account different flows of information without huge numerical calculations. We …
不完全信息下或有资本的定价与债券信用价差研究
赵志明， 李莎莎 - 系统工程理论与实践, 2018 - cqvip.com
本文考虑两类不完全信息: 信息滞后和信息不对称, 将或有资本引入分析框架,
应用风险中性定价原理和最优停时理论, 研究公司证券的定价与债券信用价差问题 …
应用风险中性定价原理和最优停时理论, 研究公司证券的定价与债券信用价差问题 …