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The relationship between two kinds of structural credit migration models.
- Source :
- AIMS Mathematics (2473-6988); 2024, Vol. 9 Issue 2, p4551-4561, 11p
- Publication Year :
- 2024
-
Abstract
- In this paper, we presented an asymptotic relationship between the single threshold model and the model with different upgrade and downgrade thresholds for credit migration problems with fixed boundaries. By partial differential equation (PDE) techniques, we proved that the solution of the asymmetric threshold problem converges to that of a single threshold problem uniformly as one of the asymmetric thresholds approaches the other. [ABSTRACT FROM AUTHOR]
- Subjects :
- PARTIAL differential equations
CORPORATE bonds
Subjects
Details
- Language :
- English
- ISSN :
- 24736988
- Volume :
- 9
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- AIMS Mathematics (2473-6988)
- Publication Type :
- Academic Journal
- Accession number :
- 175918054
- Full Text :
- https://doi.org/10.3934/math.2024219