Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-09-01 DOI:10.4171/IFB/442

Wanying Fu, Xinfu Chen, Jin Liang

引用次数: 1

Abstract

In this thesis, we study asymptotic behaviors of a free boundary arised from the evaluation of a corporate bond subject to changes of the credit rating of the underlying company. The credit rating migration is modeled by a free boundary which separates different credit rating regions in a state space. We first formulate the mathematical problem and then we establish the well-posedness of the problem and the long time-to-expiry behavior of the solution. As a result, we describe the location and asymptotic line of the free boundary. Certain numerical simulations are also provided.

查看原文本刊更多论文

信用评级迁移风险下公司债评估自由边界的渐近行为

在本文中，我们研究了受标的公司信用评级变化影响的公司债券评估所引起的自由边界的渐近行为。信用评级迁移是用一个自由边界来建模的，该边界将不同的信用评级区域划分在一个状态空间中。首先将数学问题形式化，然后建立了问题的适定性和解的长时效性。因此，我们描述了自由边界的位置和渐近线。还提供了一些数值模拟。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.