A new model and its numerical method to identify multi credit migration boundaries
DOI10.1080/00207160.2017.1329529zbMath1499.91158MaRDI QIDQ5028611
Publication date: 10 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2017.1329529
free boundary; credit risk; structure model; credit rating migration; corporate bond; firm asset value
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
35R05: PDEs with low regular coefficients and/or low regular data
35R60: PDEs with randomness, stochastic partial differential equations
35R35: Free boundary problems for PDEs
35K15: Initial value problems for second-order parabolic equations
91G40: Credit risk
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