  We study the gain of an insider having private information which concerns the
default risk of a counterparty. More precisely, the default time \tau is
modelled as the first time a stochastic process hits a random barrier L. The
insider knows this barrier (as it can be the case for example for the manager
of the counterparty), whereas standard investors only observe its value at the
default time. All investors aim to maximize the expected utility from terminal
wealth, on a financial market where the risky asset price is exposed to a
sudden loss at the default time of the counterparty. In this framework, the
insider's information is modelled by using an initial enlargement of filtration
and \tau is a stopping time with respect to this enlarged filtration. We prove
that the regulator must impose short selling constraints for the insider, in
order to exclude the value process to reach infinity. We then solve the
optimization problem and we study the gain of the insider, theoretically and
numerically. In general, the insider achieves a larger value of expected
utility than the standard investor. But in extreme situations for the default
and loss risks, a standard investor may in average outperform the insider, by
taking advantage of an aggressive short selling position which is not allowed
for the insider, but at the risk of big losses if the default finally occurs
after the maturity.

Pricing of Securities;Probability