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A new model and its numerical method to identify multi credit migration boundaries.
- Source :
-
International Journal of Computer Mathematics . Aug2018, Vol. 95 Issue 8, p1688-1702. 15p. - Publication Year :
- 2018
-
Abstract
- In this paper, valuation a corporate bond with multi credit rating migration risks is considered under the structure framework by using a free boundary model. The establishment, analysis and calculation of the model are presented. Numerical scheme, stability of the numerical algorithm and convergence order are discussed. Calibration of the parameters and numerical examples are also suggested. Furthermore, the relationship between the value function, the free boundaries and different parameters is shown and analysed. [ABSTRACT FROM AUTHOR]
- Subjects :
- *CREDIT ratings
*CREDIT risk
*CORPORATE bonds
*MERTON Model
*CALIBRATION
Subjects
Details
- Language :
- English
- ISSN :
- 00207160
- Volume :
- 95
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- International Journal of Computer Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 129755017
- Full Text :
- https://doi.org/10.1080/00207160.2017.1329529