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Incomplete information is at the heart of information-based credit risk models. In this paper, the authors rigorously define incomplete information with the notion of "Delayed filtrations". They characterize two distinct types of delayed information, continuous and discrete: the first generated by a time change of filtrations and the second by finitely many marked point processes. This notion unifies the noisy information in Duffie and Lando (2001) and the partial information in Collin-Dufresne et al. (2004), under which structural models are translated into reduced-form intensity-based models.
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