  We study the default risk in incomplete information. That means, we model the
value of a firm by one L\'evy process which is the sum of brownian motion with
drift and compound Poisson process. This L\'evy process can not be observed
completely and we let an other process which representes the available
information on the firm. We obtain an equation safisfied by the conditional
density of the default time given the available information and closed form
expression for the density.
