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

作　　者：Jin LIANG Yang LIN 

机构地区：[1]School of Mathematical Sciences,Tongji University,Shanghai 200092,China

出　　处：《Acta Mathematicae Applicatae Sinica》2023年第3期765-777,共13页应用数学学报（英文版）

基　　金：the National Natural Science Foundation of China (Nos. 12071349)。

摘　　要：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.

关 键 词：credit migration risk corporate bond pricing structural model buffer zone monotonic iteration calibration 

分 类 号：O29[理学—应用数学] F830.91[理学—数学]