Computing credit spreads under imprecise information

  • Authors:

  • Elettra Agliardi;Rossella Agliardi

  • Affiliations:

  • Faculty of Economics, University of Bologna and RCEA, Rimini, Italy;Department Matemates, University of Bologna, Bologna, Italy

  • Venue:
  • ACC'08 Proceedings of the WSEAS International Conference on Applied Computing Conference
  • Year:
  • 2008

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Abstract

This paper experiments the effect of imperfect information on the value of defaultable bonds. The numerical results show that the fuzziness of the stochastic underlying asset and/or the barrier triggering the default have material impact on the qualitative shape of the term structures of credit spreads.