Short credit spreads under different types of filtration expansions
Short credit spreads under different types of filtration expansions
The relations between intensity, credit risk models, and filtration expansions, with an emphasis on information based models, are explained. First, the mathematical properties of two types of intensity are precisely investigated under different levels of information. The economical interpretation and the connection betweenthese two types of intensity are already known under progressive filtration expansions. However accepting this type of filtration expansion requires a progressive knowledge of the reference filtration for investors which is not economically appealing. This problem is resolved under a more general filtration expansion that covers both progressive and minimal filtration expansion (which is consistent with economical observations) as special cases.
intensity, short credit spreads, progressive filtration expansions, minimal filtration expansion
1-29
Okhrati, Ramin
e8e0b289-be8c-4e73-aea5-c9835190a54a
2014
Okhrati, Ramin
e8e0b289-be8c-4e73-aea5-c9835190a54a
Okhrati, Ramin
(2014)
Short credit spreads under different types of filtration expansions.
Preprint, .
Abstract
The relations between intensity, credit risk models, and filtration expansions, with an emphasis on information based models, are explained. First, the mathematical properties of two types of intensity are precisely investigated under different levels of information. The economical interpretation and the connection betweenthese two types of intensity are already known under progressive filtration expansions. However accepting this type of filtration expansion requires a progressive knowledge of the reference filtration for investors which is not economically appealing. This problem is resolved under a more general filtration expansion that covers both progressive and minimal filtration expansion (which is consistent with economical observations) as special cases.
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Published date: 2014
Keywords:
intensity, short credit spreads, progressive filtration expansions, minimal filtration expansion
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Local EPrints ID: 357104
URI: http://eprints.soton.ac.uk/id/eprint/357104
PURE UUID: cde9742d-dc21-4afb-ba2f-0ffc89883640
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Date deposited: 04 Oct 2013 13:00
Last modified: 14 Mar 2024 14:55
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Author:
Ramin Okhrati
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