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Modeling Credit Risk with Partial Information

Citations

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Cited by:

  1. Younes Kchia & Martin Larsson, 2011. "Credit contagion and risk management with multiple non-ordered defaults," Papers 1104.5272, arXiv.org, revised Jun 2011.
  2. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  3. Dong, Xin & Zheng, Harry, 2015. "Intensity process for a pure jump Lévy structural model with incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1307-1322.
  4. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
  5. Alvis K. Lo, 2014. "Do Declines in Bank Health Affect Borrowers’ Voluntary Disclosures? Evidence from International Propagation of Banking Shocks," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 52(2), pages 541-581, May.
  6. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
  7. Florian Kiy & Theresa Zick, 2020. "Effects of declining bank health on borrowers’ earnings quality: evidence from the European sovereign debt crisis," Journal of Business Economics, Springer, vol. 90(4), pages 615-673, May.
  8. Hilscher, Jens & Raviv, Alon, 2014. "Bank stability and market discipline: The effect of contingent capital on risk taking and default probability," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 542-560.
  9. repec:dau:papers:123456789/4436 is not listed on IDEAS
  10. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
  11. Yildirim, Yildiray, 2006. "Modeling default risk: A new structural approach," Finance Research Letters, Elsevier, vol. 3(3), pages 165-172, September.
  12. repec:dau:papers:123456789/2191 is not listed on IDEAS
  13. Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
  14. Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.
  15. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 )," CARF F-Series CARF-F-115, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
  17. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
  18. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkio, 2020. "Optional projection under equivalent local martingale measures," Papers 2003.09940, arXiv.org.
  19. Di Bu & Simone Kelly & Yin Liao & Qing Zhou, 2018. "A hybrid information approach to predict corporate credit risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1062-1078, September.
  20. Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
  21. Oblój, Jan, 2007. "An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 409-431, April.
  22. Xin Dong & Harry Zheng, 2014. "Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information," Papers 1405.3767, arXiv.org.
  23. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
  24. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
  25. Caroline Hillairet & Ying Jiao, 2011. "Information Asymmetry In Pricing Of Credit Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 611-633.
  26. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
  27. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
  28. Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkiö, 2023. "Optional projection under equivalent local martingale measures," Finance and Stochastics, Springer, vol. 27(2), pages 435-465, April.
  29. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
  30. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  31. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
  32. repec:dau:papers:123456789/2233 is not listed on IDEAS
  33. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2014. "Contagion effect on bond portfolio risk measures in a hybrid credit risk model," Finance Research Letters, Elsevier, vol. 11(2), pages 131-139.
  34. Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Credit Risk Models with Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 320-332, May.
  35. Tingqiang Chen & Suyang Wang, 2023. "Incomplete information model of credit default of micro and small enterprises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2956-2974, July.
  36. Sandrine Gumbel & Thorsten Schmidt, 2021. "Defaultable term structures driven by semimartingales," Papers 2103.01577, arXiv.org, revised Aug 2021.
  37. Seung-Yeal Ha & Kyoung-Kuk Kim & Kiseop Lee, 2015. "A mathematical model for multi-name credit based on community flocking," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 841-851, May.
  38. Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.
  39. Wang, Ashley W. & Zhang, Gaiyan, 2009. "Institutional ownership and credit spreads: An information asymmetry perspective," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 597-612, September.
  40. Yu, Fan, 2005. "Accounting transparency and the term structure of credit spreads," Journal of Financial Economics, Elsevier, vol. 75(1), pages 53-84, January.
  41. Hisashi Nakamura, 2007. "Strategic Default Jump as Impulse Control in Continuous Time," CIRJE F-Series CIRJE-F-532, CIRJE, Faculty of Economics, University of Tokyo.
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