Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information

DOI10.1111/mafi.12386OpenAlexW4362586321MaRDI QIDQ6146673

Junchi Ma, Jinniao Qiu, A. Deniz Sezer, Unnamed Author

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12386

zbMATH Keywords

stochastic partial differential equationscredit riskinformation reductionfirst hitting timeEpstein-Zin utilityconsumption-based equilibrium model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

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