Advanced Search
MyIDEAS: Login to save this article or follow this journal

Partial Information And Hazard Process


Author Info


    (Université d'Evry, rue du Père Jarlan, 91025 EVRY Cedex, France)


    (University of Zurich — Swiss Banking Institute (ISB), Plattenstrasse 22, 8032 Zurich, Switzerland)

Registered author(s):


    This paper studies in some examples the role of information in a default-risk framework. We examine three types of information for a firm's unlevered asset value to the secondary bond market: the classical case of continuous and perfect information, observation of past and contemporaneous asset values at selected discrete times, and observation of contemporaneous asset value at discrete times. The third information filtration is contained in the second, which in turn, is contained in the first. We investigate the changes of the distributional properties of the default time and the properties of bond prices and credit spreads with the reductions of the information sets. Consistently with the observed market prices, model bond prices with partial information have surprise jumps prior to default. Credit spreads for very short times to maturities are increasing with the reductions of the information sets. High-yield bonds with the two types of incomplete information have downward sloping term structures of credit spreads. For firms with good credit qualities, increases of the observation lags lead to upward shifts in the term structures of credit spreads. The two information constrained models admit reduced form representations, in which the time of default is a totally inaccessible time with default arrival intensities, but it is better avoiding the intensity approach to valuation since the hazard process approach is more efficient.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 08 (2005)
    Issue (Month): 06 ()
    Pages: 807-838

    as in new window
    Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Credit risk; information; hazard process of a default time; intensity; default-risky bonds;


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
    2. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    3. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256,
    4. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.