A new model and its numerical method to identify multi credit migration boundaries

DOI10.1080/00207160.2017.1329529zbMath1499.91158MaRDI QIDQ5028611

Jin Liang, Yuan Wu

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

zbMATH Keywords

free boundary; credit risk; structure model; credit rating migration; corporate bond; firm asset value

Mathematics Subject Classification ID

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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A bond pricing model with credit migration risk: different upgrade and downgrade thresholds, Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate, Free boundaries of credit rating migration in switching macro regions

Cites Work

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