Cetin, Umut; Jarrow, R.; Protter, P.; Yildirim, Y. - London School of Economics (LSE) - 2004
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633–664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager’s information set...