Modeling credit risk with partial information. (Q1879905)

Consider the problem of obtaining a reduced form credit risk model from a structural model. Duffie and Lando's method resides in constructing an economy where the market sees the manager's information set plus noise. The paper under review proves an alternative method, where the market sees a reduction of the manager's information. An explicit formula for the default intensity is provided, together with pricing the risky debt.