Abstract
We define complete and incomplete information with natural and delayed filtrations, and the latter include both continuous and discrete types, among which discretely delayed filtrations satisfy the reality better. Based on the framework of delayed filtrations, default can be treated as a doubly stochastic Poisson process with a Weibull inter-arrival time distribution. Then we derive the formula to estimate default probability intensity function and distribution function, and put forward the method to calculate the default intensity. The simulations show these formulas satisfy the characteristics of default very well, and they are practical for public traded companies.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Duffie, D., Lando, D.: Term structures of credit spreads with incomplete accounting information. Econometrica 69, 633–664 (2001), doi:10.1111/1468-0262.00208
Cetin, U., Jarrow, R., Protter, P., Yildirim, Y.: Modeling default risk with partial information. Annals of Applied Probability 14, 1167–1178 (2004), doi:10.1214/105051604000000251
Guo, X., Jarrow, R.A., Zeng, Y.: Information reduction in credit risk models (2005) (unpublished)
Frey, R., Schmidt, T.: Pricing corporate securities under noisy asset information. Mathematical Finance 19, 403–421 (2009), doi:10.1111/j.1467-9965.2009.00374.x
Capponi, A., Cvitanic, J.: Credit risk modeling with misreporting and incomplete information. International Journal of Theoretical and Applied Finance 12, 83–112 (2009), doi:10.1142/S0219024909005129
Giesecke, K.: Default and information. Journal of Economic Dynamics & Control 30, 2281–2303 (2006), doi:10.1016/j.jedc.2005.07.003
Collin-Dufresne, P., Goldstein, R.S., Helwege, J.: Are Jumps in Corporate Bond Yields Priced? Modeling Contagion via the Updating of Beliefs (2002) (unpublished)
Jarrow, R.A., Turnbull, S.: A Markov model for the term structure of credit risk spread. The Review of Financial Studies 10, 481–523 (1997), doi:10.1093/rfs/10.2.481
Duffie, D., Singleton, K.J.: Modeling Term Structure of Defaultable Bonds. The Review of Financial Studies 12(4), 687–720 (1999), doi:10.1093/rfs/12.4.687
Aven, T.: A theorem for determining the compensator of a counting process. Scandinavian Journal of Statistics 12(1), 69–72 (1985)
Elliott, R.J., Jeanblanc, M., Yor, M.: On models of default risk. Mathematical Finance 10, 179–196 (2000), doi:10.1111/1467-9965.00088
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag GmbH Berlin Heidelberg
About this paper
Cite this paper
Xing, Y., Yiyun, C. (2012). Forecasting Default with Incomplete Information–Based on the Framework of Delayed Filtration. In: Zhang, Y. (eds) Future Wireless Networks and Information Systems. Lecture Notes in Electrical Engineering, vol 144. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27326-1_34
Download citation
DOI: https://doi.org/10.1007/978-3-642-27326-1_34
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-27325-4
Online ISBN: 978-3-642-27326-1
eBook Packages: EngineeringEngineering (R0)