{"title":"信用风险、流动性和泡沫","authors":"R. Jarrow, P. Protter","doi":"10.2139/ssrn.3191446","DOIUrl":null,"url":null,"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.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Credit Risk, Liquidity, and Bubbles\",\"authors\":\"R. Jarrow, P. Protter\",\"doi\":\"10.2139/ssrn.3191446\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":260073,\"journal\":{\"name\":\"Mathematics eJournal\",\"volume\":\"30 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-05-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mathematics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3191446\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mathematics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3191446","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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