Risk, Vol. 17, No. 1, pp. S16-S18, January 2004
3 Pages Posted: 28 Feb 2004
We describe a class of quantitative credit risk models that take account of the unavoidable gaps in investors' information. These incomplete information models are structural/reduced form hybrids. They combine the best features of both traditional approaches while avoiding many of their shortcomings.
Keywords: Credit risk, incomplete information, default, recovery, risk premium, power curve
JEL Classification: G33, C52, C53, G12, G13, G14
Suggested Citation: Suggested Citation
Goldberg, Lisa R., Investing in Credit: How Good is Your Information?. Risk, Vol. 17, No. 1, pp. S16-S18, January 2004. Available at SSRN: https://ssrn.com/abstract=508242