Article ID: | iaor200968817 |
Country: | United States |
Volume: | 34 |
Issue: | 2 |
Start Page Number: | 320 |
End Page Number: | 332 |
Publication Date: | May 2009 |
Journal: | Mathematics of Operations Research |
Authors: | Guo Xin, Jarrow Robert A, Zeng Yan |
Keywords: | risk, information |
Incomplete information is at the heart of information-based credit risk models. In this paper, we rigorously define incomplete information with the notion of “delayed filtrations.” We characterize two distinct types of delayed information, continuous and discrete: the first generated by a time change of filtrations and the second by finitely many marked point processes. This notion unifies the noisy information in Duffie and Lando (2001) and the notion of partial information in Collin-Dufresne