Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk

DOI10.1111/1467-9965.00054zbMath1020.91033OpenAlexW2061389136MaRDI QIDQ4791736

Masaaki Kijima

Publication date: 2 February 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00054

zbMATH Keywords

hazard functioncredit ratingstochastic monotonicityrisk premia adjustment

Mathematics Subject Classification ID

Related Items (11)

On the term structure of lending interest rates when a fraction of collateral is recovered upon default ⋮ Dependence properties of dynamic credit risk models ⋮ Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk ⋮ A coupled Markov chain approach to credit risk modeling ⋮ Fuzzy semi-Markov migration process in credit risk ⋮ Semi-Markov migration process in a stochastic market in credit risk ⋮ Properties of a job search problem on a partially observable Markov chain in a dynamic economy ⋮ MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED ⋮ An inhomogeneous semi-Markov model for the term structure of credit risk spreads ⋮ A latent process model for the pricing of corporate securities ⋮ Analytical pricing of single barrier options under local volatility models

This page was built for publication: Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk