This paper experiments the effect of imperfect information on the value of defaultable bonds. The numerical results show that the fuzziness of the stochastic underlying asset and or the barrier triggering the default have material impact on the qualitative shape of the term structure of credit spreads.
Computing credit spreads under imprecise information / Agliardi E.; Agliardi R.. - STAMPA. - (2008), pp. 382-387.
Computing credit spreads under imprecise information
AGLIARDI, ELETTRA;AGLIARDI, ROSSELLA
2008
Abstract
This paper experiments the effect of imperfect information on the value of defaultable bonds. The numerical results show that the fuzziness of the stochastic underlying asset and or the barrier triggering the default have material impact on the qualitative shape of the term structure of credit spreads.File in questo prodotto:
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