Pricing Credit Derivatives under Different Information Sets
Date Issued
2005
Date
2005
Author(s)
Huang, Shian-Chang
DOI
en-US
Abstract
The thesis includes two articles. These two articles focus on the
same issue--how to pricing credit derivatives and credit spreads
under different information sets. These two articles all employ
reduced models as a base framework, and combine intuitions from
structural models to consider the pricing problems. But they
consider different situations an investor may face, the first
article focus on the situation when investors only possess a
firm's noisy financial report (incomplete information). We develop
methods to infer the company's real financial constitution from
market trading data. The second article considers the situation
when an investor's information set is enlarged to include
anticipative information. Conditioning on the extended information
set, we show how to incorporate the insider information into the
original model, and thus give us a better estimation of the firm's
survival probability.
Subjects
預期效果
學習效果
不完全訊息
信用風險
信用型衍生信商品
Credit Risk
Incomplete Information
Anticipation Effects
Credit Derivatives
Learning Effects
Type
thesis
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