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dc.contributor.authorCampi, Luciano
dc.contributor.authorCetin, Umut
dc.date.accessioned2010-06-25T09:28:35Z
dc.date.available2010-06-25T09:28:35Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4436
dc.language.isoenen
dc.subjectBessel bridgeen
dc.subjectInsider tradingen
dc.subjectEquilibriumen
dc.subjectReduced-form modelsen
dc.subjectStructural modelsen
dc.subjectDefaulten
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD82en
dc.titleInsider trading in an equilibrium model with default: a passage from reduced-form to structural modellingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study, in the framework of Back [Rev. Financial Stud. 5(3), 387–409 (1992)], an equilibrium model for the pricing of a defaultable zero coupon bond issued by a firm. The market consists of a risk-neutral informed agent, noise traders, and a market maker who sets the price using the total order. When the insider does not trade, the default time possesses a default intensity in the market’s view as in reduced-form credit risk models. However, we show that, in equilibrium, the modelling becomes structural in the sense that the default time becomes the first time that some continuous observation process falls below a certain barrier. Interestingly, the firm value is still not observable. We also establish the no expected trade theorem that the insider’s trades are inconspicuous.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol11en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2007-10
dc.relation.isversionofjnlpages591-602en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-007-0038-4en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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