Equilibrium model with default and insider's dynamic information - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2011

Equilibrium model with default and insider's dynamic information

Résumé

We consider an equilibrium model á la Kyle-Back for a defaultable claim issued by a given firm. In such a market the insider observes \emph{continuously in time} the value of firm, which is unobservable by the market maker. Using the construction of a dynamic Bessel bridge of dimension $3$ in Campi, \c Cetin and Danilova (2010), we provide the equilibrium price and the optimal insider's strategy. As in Campi and \c Cetin (2007), the information released by the insider while trading optimally makes the default time predictable in market's view at the equilibrium. We conclude the paper by comparing the insider's expected profits in the static and dynamic private information case. We also compute explicitly the value of insider's information in the special cases of a defaultable stock and a bond.
Fichier principal
Vignette du fichier
finance-default_3-1.pdf (318.44 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00613216 , version 1 (03-08-2011)

Identifiants

  • HAL Id : hal-00613216 , version 1

Citer

Luciano Campi, Umut Cetin, Albina Danilova. Equilibrium model with default and insider's dynamic information. 2011. ⟨hal-00613216⟩
284 Consultations
153 Téléchargements

Partager

Gmail Facebook X LinkedIn More