文章基本信息

标题：The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
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作者：Peter Spencer
期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2013
卷号：2013
出版社：University of York
摘要：This paper shows that the standard and deferred filtration structural models of corporate default are isomorphic, allowing the insights of the standard full information setting to be carried over to the more complex case of asymmetric information. It shows that the accounting lag, which provides a general indicator of uncertainty and opacity in the deferred filtration model, plays a role analogous to that of forward maturity in the standard model. The comparative static properties of the standard model carry over mutatis mutandis and can also be used to sign the effect of signals upon the effective accounting lag and drift parameters.