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Information Asymmetry In Pricing Of Credit Derivatives

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Author Info

  • CAROLINE HILLAIRET

    ()
    (CMAP, Ecole Polytechnique, 91128 Palaiseau, France)

  • YING JIAO

    ()
    (LPMA, Université Paris Diderot, 75251 Paris, France)

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    Abstract

    We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are distinguished using the framework of enlargement of filtrations. We specify risk neutral probabilities and we evaluate default sensitive contingent claims in these cases.

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    Bibliographic Info

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

    Volume (Year): 14 (2011)
    Issue (Month): 05 ()
    Pages: 611-633

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    Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:05:p:611-633

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    Related research

    Keywords: Asymmetric information; enlargement of filtrations; default threshold; risk neutral probability measures; pricing of credit derivatives;

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