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We extend the information-based asset-pricing framework by Brody, Hughston \&Macrina to incorporate a stochastic bankruptcy time for the writer of theasset. Our model introduces a non-defaultable cash flow $Z_T$ to be made attime $T$, alongside the time $\tau$ of a possible bankruptcy of the writer ofthe asset are in line with the filtration generated by a Brownian random bridgewith length $\nu=\tau \wedge T$ and pinning point $\sigma Z_T$, where $\sigma$is a constant. Quantities $Z_T$ and $\tau$ are not necessarily independent. Themodel does not depend crucially on the interpretation of $\tau$ as a bankruptcytime. We derived the price process of the asset and compute the prices ofassociated options. The dynamics of the price process satisfy a diffusionequation. Employing the approach of P.-A.~ Meyer, we provide the explicitcomputation of the compensator of $\nu$. Leveraging special properties of thebridge process, we also provide the explicit expression of the compensator of$Z_T\,\mathbb{I}_{[\nu,+\infty)}$. The resulting conclusion highlights thetotally inaccessible property of the stopping time $\nu$. This characteristicis particularly suitable for financial markets where the time of default of awriter cannot be predictable from any other signal in the system until defaulthappens.

Information-Based Approach: Pricing of a Credit Risky Asset in the Presence of Default Time