The relationship between two kinds of structural credit migration models

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 asymmetri...

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Bibliographic Details
Published in:AIMS Mathematics
Main Authors: Yang Lin, Jin Liang
Format: Article
Language:English
Published: AIMS Press 2024-01-01
Subjects:
credit migration risk
different upgrade and downgrade thresholds
asymptotic behavior
structural model
corporate bond pricing
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024219?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024219?viewType=HTML

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