CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

DOI10.1142/S0219024909005129zbMath1182.91186OpenAlexW3121974599MaRDI QIDQ3632195

Jakša Cvitanić, Agostino Capponi

Publication date: 23 June 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005129

zbMATH Keywords

nonlinear filteringcalibrationcredit riskincomplete informationstructural modelsParmalat

Mathematics Subject Classification ID

Related Items (3)

Optimal contracting with effort and misvaluation ⋮ Parameter Estimation in Credit Models Under Incomplete Information ⋮ A convex optimization approach to filtering in jump linear systems with state dependent transitions

Cites Work

• Valuation of default-sensitive claims under imperfect information
• INFORMATION-BASED ASSET PRICING
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

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