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- W2247126152 abstract "This paper analyzes the effect of noise information on the valuation of default risk. Main assumptions are that the true value of a firm's value and its observation follows a certain stochastic process, and a noise component that disturbs the observation is included in the process of observed value. Based upon the optimal estimation of true firm's value, the formulae of default risk valuation are presented in two circumstances respectively, i.e., classical complete information and incomplete information with noise. The difference of default risk valuation between two situations is analyzed. It is shown that the noise information leads to the devaluation of default risk." @default.
- W2247126152 created "2016-06-24" @default.
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- W2247126152 date "2005-01-01" @default.
- W2247126152 modified "2023-09-27" @default.
- W2247126152 title "Noise Information and Default Risk Valuation" @default.
- W2247126152 cites W1999918735 @default.
- W2247126152 doi "https://doi.org/10.2139/ssrn.693482" @default.
- W2247126152 hasPublicationYear "2005" @default.
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