A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds (Q4958401)
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scientific article; zbMATH DE number 7392184
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| English | A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds |
scientific article; zbMATH DE number 7392184 |
Statements
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds (English)
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8 September 2021
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credit rating migration risks
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free boundary
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corporate bond pricing
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structural model
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buffer zone
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deadband
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hysteresis
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0.94733655
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0.9318892
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0.92685413
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0.91649973
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0.9084761
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0.89105755
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0.87937737
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0.8680937
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0.8631612
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