Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information

DOI10.1111/MAFI.12386MaRDI QIDQ6146673zbMATH OpenOpenAlexFDO

Authors Junchi Ma, Jinniao Qiu, A. Deniz Sezer

Publication date 31 January 2024

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/mafi.12386

zbMATH Keywords

consumption-based equilibrium modelcredit riskEpstein-Zin utilityfirst hitting timeinformation reductionstochastic partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

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• Term Structures of Credit Spreads with Incomplete Accounting Information
• The numerical approximation of stochastic partial differential equations

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