| Article ID: | iaor20119690 |
| Volume: | 11 |
| Issue: | 3 |
| Start Page Number: | 299 |
| End Page Number: | 309 |
| Publication Date: | Nov 2011 |
| Journal: | Operational Research |
| Authors: | Agliardi Elettra, Agliardi Rossella |
| Keywords: | fuzzy sets |
This article develops a computational method to implement the effect of imperfect information on the value of defaultable bonds. A fuzzy modeling is adopted and the numerical experiments show that an imprecise value of the stochastic underlying asset and/or the barrier triggering default have material impact on the qualitative shape of the term structures of credit spreads.