A lattice model with incomplete information: A credit risk application

DOI10.1524/STND.2008.0914zbMATH Open1154.91496OpenAlexW2041359755MaRDI QIDQ5502852FDOQ5502852

Authors: Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli 

Publication date: 9 January 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2008.0914

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zbMATH Keywords

credit riskincomplete informationbinomial models\(H\)-hypothesis

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (4)

• Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
• Parameter Estimation in Credit Models Under Incomplete Information
• Information reduction via level crossings in a credit risk models
• Credit risk models with incomplete information

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