具有信用迁移风险的债券定价模型：不同的升级和降级阈值

IF 0.9 4区数学 Q3 MATHEMATICS, APPLIED

Acta Mathematicae Applicatae Sinica, English Series Pub Date : 2023-06-17 DOI:10.1007/s10255-023-1082-3

Jin Liang, Yang Lin

{"title":"具有信用迁移风险的债券定价模型：不同的升级和降级阈值","authors":"Jin Liang, Yang Lin","doi":"10.1007/s10255-023-1082-3","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce the frequency of credit rating changes. Mathematically, this model is a system of partial differential equations with overlapping area. The existence, uniqueness, regularity and asymptotic behavior of the solution are obtained. Furthermore, a numerical scheme and its stability, convergence and accuracy are discussed in detail. Calibration and analysis of the parameters are also suggested.</p></div>","PeriodicalId":6951,"journal":{"name":"Acta Mathematicae Applicatae Sinica, English Series","volume":"39 3","pages":"765 - 777"},"PeriodicalIF":0.9000,"publicationDate":"2023-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Bond Pricing Model with Credit Migration Risk: Different Upgrade and Downgrade Thresholds\",\"authors\":\"Jin Liang, Yang Lin\",\"doi\":\"10.1007/s10255-023-1082-3\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce the frequency of credit rating changes. Mathematically, this model is a system of partial differential equations with overlapping area. The existence, uniqueness, regularity and asymptotic behavior of the solution are obtained. Furthermore, a numerical scheme and its stability, convergence and accuracy are discussed in detail. Calibration and analysis of the parameters are also suggested.</p></div>\",\"PeriodicalId\":6951,\"journal\":{\"name\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"volume\":\"39 3\",\"pages\":\"765 - 777\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2023-06-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10255-023-1082-3\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Acta Mathematicae Applicatae Sinica, English Series","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10255-023-1082-3","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}

引用次数: 1

摘要

本文提出了一种新的考虑信用迁移风险的公司债券定价模型。该模型为信用评级的上升或下降设置了不同的阈值，形成了一个缓冲区，可以降低信用评级变化的频率。从数学上讲，这个模型是一个面积重叠的偏微分方程组。得到了解的存在性、唯一性、正则性和渐近性。此外，还详细讨论了一个数值格式及其稳定性、收敛性和精度。并对参数进行了标定和分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A Bond Pricing Model with Credit Migration Risk: Different Upgrade and Downgrade Thresholds

In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce the frequency of credit rating changes. Mathematically, this model is a system of partial differential equations with overlapping area. The existence, uniqueness, regularity and asymptotic behavior of the solution are obtained. Furthermore, a numerical scheme and its stability, convergence and accuracy are discussed in detail. Calibration and analysis of the parameters are also suggested.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Acta Mathematicae Applicatae Sinica, English Series 数学-应用数学

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

3.0 months

期刊介绍： Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.