On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to...
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2018-12-01
|
Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | https://www.mdpi.com/1911-8074/11/4/87 |