7. Filtering and Incomplete Information in Credit Risk

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Rüdiger Frey and
  2. Thorsten Schmidt

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch7

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Filtering and Incomplete Information in Credit Risk, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch7

Author Information

  1. TU Chemnitz

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • credit risk;
  • corporate securities;
  • credit default swaps;
  • collateralized debt obligation;
  • stochastic filtering

Summary

This chapter contains sections titled:

  • Introduction

  • A Short Introduction to Stochastic Filtering

  • Credit Risk Models under Incomplete Information

  • Structural Models I: Duffie and Lando (2001)

  • Structural Models II: Frey and Schmidt (2009)

  • Constructing Reduced-Form Credit Risk Models via Nonlinear Filtering

  • Numerical Case Studies

  • Notes