Investing in Credit: How Good is Your Information?

Risk, Vol. 17, No. 1, pp. S16-S18, January 2004

3 Pages Posted: 28 Feb 2004  

Lisa R. Goldberg

University of California, Berkeley; Aperio Group

Abstract

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

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

Lisa R. Goldberg (Contact Author)

University of California, Berkeley ( email )

Department of Statistics
367 Evans Hall
Berkeley, CA 94720-3860
United States

Aperio Group ( email )

3 Harbor Drive
Suite 315
Sausalito, CA 94965
United States

Paper statistics

Downloads
467
Rank
48,220
Abstract Views
1,481