Credit Spreads and Incomplete Information

Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne

doi:10.2139/ssrn.1102606

SSRN Journal

2008

DOI: 10.2139/ssrn.1102606

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Credit Spreads and Incomplete Information

Snorre Lindset

Arne-Christian Lund

Svein-Arne Persson

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An application to credit risk of a hybrid Monte Carlo–optimal quantization method

Callegaro¹,

Sagna²

2013

JCF

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In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial information.We consider the case when the firm's value is a non-observable stochastic process (V t ) t≥0 and investors in the market have access to a process (S t ) t≥0 , whose value at each time t is related to (V s , s ≤ t). We are interested in the computation of the conditional survival probabilities of the firm given the "investor information".As an application, we analyze the shape of the credit spread curve for zero coupon bonds in two examples.

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An application to credit risk of a hybrid Monte Carlo–optimal quantization method

Callegaro¹,

Sagna²

2013

JCF

View full text Add to dashboard Cite

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Credit Risk Modeling with Delayed Information

2012

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Credit Spreads and Incomplete Information

Cited by 2 publications

References 4 publications

An application to credit risk of a hybrid Monte Carlo–optimal quantization method

An application to credit risk of a hybrid Monte Carlo–optimal quantization method

Credit Risk Modeling with Delayed Information

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