A new model and its numerical method to identify multi credit migration boundaries

DOI10.1080/00207160.2017.1329529zbMath1499.91158OpenAlexW2622393205MaRDI QIDQ5028611

Jin Liang, Yuan Wu

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2017.1329529

zbMATH Keywords

free boundarycredit riskstructure modelcredit rating migrationcorporate bondfirm asset value

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs with low regular coefficients and/or low regular data (35R05) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Initial value problems for second-order parabolic equations (35K15) Credit risk (91G40)

Related Items (3)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ Free boundaries of credit rating migration in switching macro regions ⋮ A bond pricing model with credit migration risk: 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
• Structural model of credit migration
• A free boundary problem for corporate bond with credit rating migration
• A modified structural model for credit risk

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