Credit Risk, Liquidity, and Bubbles

R. Jarrow, P. Protter
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引用次数: 3

Abstract

This paper presents an arbitrage-free valuation model for a credit risky security where credit risk coexists and interacts with an asset price bubble and liquidity risk (or liquidity costs). As an illustration, this model is applied to determine the fair rate for microfinance loans.
信用风险、流动性和泡沫
本文提出了信用风险与资产价格泡沫和流动性风险(或流动性成本)共存并相互作用的信用风险证券的无套利估值模型。作为一个例子,该模型被应用于确定小额信贷贷款的公平利率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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