Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "incomplete information"

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2001-12-12Buch

Correlated Default With Incomplete Information

Giesecke, Kay

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers’ assets and defaults, we suppose that they are not informed about the threshold asset level at ...
2001-12-12Buch

Default Compensator, Incomplete Information, and the Term Structure of Credit Spreads

Giesecke, Kay

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have ...