Default and Information
- Topics:
- Investment and Capital Markets
- Tags:
- Accounting,
- Model,
- Investor,
- Investment,
- Financial Services,
- Financial Accounting,
- Finance,
- Bond,
- Barra,
- Operational Accounting
- Source:
- Barra
FREE Registration is required
Overview: The recent string of accounting scandals highlights the need for bond investors to reconsider the informational assumptions underlying traditional models of default. In the models presented in this paper, it is implicitly assumed that the information used to calibrate and run the model is publicly available. In reality, model inputs and parameters are uncertain. The paper develops a class of cause and effect default models based on incomplete information, in which investors can specify the degree of confidence they have around inputs and parameters.
(Is this item miscategorized? Does it need more tags? Let us know.)
Format: PDF | Size: 2,028KB | Date: Jun 2003 | Pages: 32
