Free boundaries of credit rating migration in switching macro regions

DOI10.3934/MCRF.2019038MaRDI QIDQ2197188zbMATH OpenOpenAlexFDO

Authors Yuan Wu, Jin Liang

Publication date 28 August 2020

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2019038

zbMATH Keywords

credit rating migrationcredit riskfree boundaryregime switchstructure model

Mathematics Subject Classification ID

Second-order parabolic systems (35K40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35)

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Cites work

• A free boundary problem for corporate bond with credit rating migration
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new model and its numerical method to identify multi credit migration boundaries
• A Regime-Switching Model of Long-Term Stock Returns
• Asymptotic traveling wave solution for a credit rating migration problem
• Blow-up theories for semilinear parabolic equations
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• On Cox processes and credit risky securities

Cited in

(12)

• Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
• A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
• A free boundary problem for corporate bond with credit rating migration
• Front fixing finite difference method for pricing a corporate bond with credit rating migration
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
• A new model and its numerical method to identify multi credit migration boundaries
• On a multiple credit rating migration model with stochastic interest rate
• Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
• A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model
• A bond pricing model with credit migration risk: different upgrade and downgrade thresholds
• Variational inequalities arising from credit rating migration with buffer zone
• Utility indifference valuation of corporate bond with rating migration risk

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