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Modeling Credit Risk with Partial Information (2002)
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by
Umut Çetin
,
Robert Jarrow
,
Philip Protter
,
Yildiray Yildrim
| Venue: | Annals of Applied Probability |
| Citations: | 51 - 9 self |
BibTeX
@ARTICLE{Çetin02modelingcredit,
author = {Umut Çetin and Robert Jarrow and Philip Protter and Yildiray Yildrim},
title = {Modeling Credit Risk with Partial Information},
journal = {Annals of Applied Probability},
year = {2002},
volume = {14},
pages = {1167--1178}
}
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Abstract
This paper provides an alternative approach to Duffe and Lando [7] for obtaining a reduced form credit risk model from a structural model.
