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Valuation of default-sensitive claims under imperfect information

Coculescu, Delia ; Geman, Hélyette ; Jeanblanc, Monique

In: Finance and Stochastics, 2008, vol. 12, no. 2, p. 195-218

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    Titre
    • Valuation of default-sensitive claims under imperfect information
    Auteur
    • Coculescu, Delia. Department of Mathematics, ETH, Rämistrasse 101, 8092, Zürich, Switzerland
    • Geman, Hélyette. Birkbeck University of London, Malet Street, WC1E 7HX, London, UK
    • Jeanblanc, Monique. Equipe d'Analyse et Probabilités, Université d'Evry Val d'Essonne, rue du Père Jarlan, 91025, Evry Cedex, France
    Type de document
    • Postprint
    Identifiant OAI-PMH
    • oai:doc.rero.ch:316953
    Summary
    We propose a valuation method for financial assets subject to default risk, where investors cannot observe the state variable triggering the default but observe a correlated price process. The model is sufficiently general to encompass a large class of structural models and can be seen as a generalization of the model of Duffie and Lando (Econometrica 69:633-664, [2001]). In this setting we prove that the default time is totally inaccessible in the market's filtration and derive the conditional default probabilities and the intensity process. Finally, we provide pricing formulas for default-sensitive claims and illustrate in particular examples the shapes of the credit spreads