Modeling credit risk with partial information
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References listed on IDEAS
- Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. " Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-625, July.
- Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
- Philip Protter & Michael Dritschel, 1999. "Complete markets with discontinuous security price," Finance and Stochastics, Springer, vol. 3(2), pages 203-214.
More about this item
Keywordsdefault risk; Azéma martingale; Brownian excursions; default distribution;
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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