Free boundaries of credit rating migration in switching macro regions

DOI10.3934/mcrf.2019038zbMath1441.35241OpenAlexW2967923245MaRDI QIDQ2197188

Jin Liang, Yuan Wu

Publication date: 28 August 2020

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2019038

zbMATH Keywords

free boundarycredit riskstructure modelregime switchcredit rating migration

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Second-order parabolic systems (35K40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors ⋮ A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model ⋮ A bond pricing model with credit migration risk: different upgrade and downgrade thresholds ⋮ A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds

Cites Work

• Unnamed Item
• Asymptotic traveling wave solution for a credit rating migration problem
• On Cox processes and credit risky securities
• Blow-up theories for semilinear parabolic equations
• A free boundary problem for corporate bond with credit rating migration
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new model and its numerical method to identify multi credit migration boundaries
• A Regime-Switching Model of Long-Term Stock Returns

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