A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds

DOI10.1137/20M1343592zbMath1471.91612OpenAlexW3190001879MaRDI QIDQ4958401

Xinfu Chen, Jin Liang

Publication date: 8 September 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1343592

zbMATH Keywords

hysteresisdeadbandfree boundarycorporate bond pricingstructural modelbuffer zonecredit rating migration risks

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (2)

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

Cites Work

• Asymptotic traveling wave solution for a credit rating migration problem
• Existence, uniqueness, and asymptotic stability of traveling waves in nonlocal evolution equations
• Opaque bank assets and optimal equity capital
• Free boundaries of credit rating migration in switching macro regions
• A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
• A free boundary problem for corporate bond with credit rating migration

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