In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and the periodic asset value reports. In this situation, the default time of each firm becomes a totally inaccessible stopping time to the market participants. The original structural model is first transformed to a reduced-form model. Then the conditional distribution of the default time together with the asset value of each name are derived. We prove the existence of the intensity processes of default times and also give the explicit form of the intensity processes. Numerical studies on the intensities of the two correlated names are conducted for some special cases.

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相关的默认值和不完整的信息

在本文中，我们使用二维布朗运动研究了两个相关公司的连续时间结构资产价值模型。我们考虑了信息不完整的情况，市场参与者可获得的信息集包括每个公司的默认时间和定期资产价值报告。在这种情况下，每个公司的默认时间将成为市场参与者完全无法访问的停止时间。首先将原始结构模型转换为简化形式的模型。然后，导出默认时间的条件分布以及每个名称的资产值。我们证明了默认时间强度过程的存在，并给出了强度过程的显式形式。