抄録
The aim of this research is to give a brief survey of framework to evaluate/quantize the transparency of a firm. We present a modification of Merton's model for corporate debt, where we assume that the process of the firm value is not observable but is strongly correlated with the sum of prices of stock and bonds which is observable and tradable. By a filtering argument, an explicit credit spread formula is obtained. Using the formula, ”market implication” of transparency of a firm can be quantified. A numerical example is presented to illustrate the procedure.
