  We investigate the impact of available information on the estimation of the
default probability within a generalized structural model for credit risk. The
traditional structural model where default is triggered when the value of the
firm's asset falls below a constant threshold is extended by relaxing the
assumption of a constant default threshold. The default threshold at which the
firm is liquidated is modeled as a random variable whose value is chosen by the
management of the firm and dynamically adjusted to account for changes in the
economy or the appointment of a new firm management. Investors on the market
have no access to the value of the threshold and only anticipate the
distribution of the threshold. We distinguish different information levels on
the firm's assets and derive explicit formulas for the conditional default
probability given these information levels. Numerical results indicate that the
information level has a considerable impact on the estimation of the default
probability and the associated credit yield spread.
