Information Asymmetry in Pricing of Credit Derivatives
AbstractWe 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 InfoPaper provided by arXiv.org in its series Papers with number 1002.3256.
Date of creation: Feb 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-06 (All new papers)
- NEP-BAN-2010-03-06 (Banking)
- NEP-CTA-2010-03-06 (Contract Theory & Applications)
- NEP-RMG-2010-03-06 (Risk Management)
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