  In this paper we analyze an extension of the Jeanblanc and Valchev (2005)
model by considering a short-term uncertainty model with two noises. It is a
combination of the ideas of Duffie and Lando (2001) and Jeanblanc and Valchev
(2005): share quotations of the firm are available at the financial market, and
these can be seen as noisy information about the fundamental value, or the
firm's asset, from which a low level produces the credit event. We assume there
are also reports of the firm, release times, where this short-term uncertainty
disappears. This credit event model is used to describe conversion and default
in a CoCo bond.
