Retour à la liste de tous les séminaires

Credit Risk with asymmetric information on the default threshold.

Le : 16/05/2011 11h00
Par : Caroline Hillairet (CMAP, Palaiseau)
Lieu :
Lien web :
Résumé : We consider a financial market with a default risk of a firm in a general barrier model : we model the default time has the first passage time of the firm value process under a random barrier L. We study the impact of asymmetric information on the barrier L in the pricing of credit derivatives and in the optimization of the expected utility from terminal wealth. The managers of the firm fix the barrier $ d and thus have complete information on it, while the investors on the market only observe whether the default has occured or not. Different information structures are distinguished using the framework of enlargement of filtrations. We specify risk neutral probabilities and we evaluate default sensitive contingent claims in these cases. Finally, we study the managers' optimal investment strategy in a market with a stock exposed to a counterparty risk, the default of the firm inducing a jump in the stock price.