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.

Agliardi E., Agliardi R. (2008). Computing credit spreads under imprecise information. - : WSEAS Press.

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.
2008
Computational methods and applied computing
382
387
Agliardi E., Agliardi R. (2008). Computing credit spreads under imprecise information. - : WSEAS Press.
Agliardi E.; Agliardi R.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/61015
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