In this paper we propose a discrete time model for a firm asset value process, in a context of incomplete accounting information. We model the logarithm Z of the firm asset value process as a Markov chain. The debtholders do not have perfect information about the actual value of the firm: they receive only a discrete noisy stream of reports Y. We study the pair (Z,Y) relying on linear filtering techniques. We also characterize the marginal distributions of the filter, discussing some significant properties.

A linear filtering approach for incomplete accounting information models

TOLOTTI, Marco
2012

Abstract

In this paper we propose a discrete time model for a firm asset value process, in a context of incomplete accounting information. We model the logarithm Z of the firm asset value process as a Markov chain. The debtholders do not have perfect information about the actual value of the firm: they receive only a discrete noisy stream of reports Y. We study the pair (Z,Y) relying on linear filtering techniques. We also characterize the marginal distributions of the filter, discussing some significant properties.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/34522
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