Date Added: Feb 2010
The authors study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are distinguished using the framework of enlargement of filtrations. They specify risk neutral probabilities and they evaluate default sensitive contingent claims in these cases. The modelling of a default event is an important subject from both economic and financial point of view. There exist a large literature on this issue and mainly two modelling approaches: the structural one and the reduced-form one.