Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information
Junchi Ma, Mobolaji Ogunsolu, Jinniao Qiu, Ayşe Deniz Sezer
| Year of publication: |
2023
|
|---|---|
| Authors: | Ma, Junchi ; Ogunsolu, Mobolaji ; Qiu, Jinniao ; Sezer, Ayşe Deniz |
| Subject: | consumption-based equilibrium model | credit risk | Epstein-Zin utility | first hitting time | information reduction | stochastic partial differential equations | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | CAPM | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12386 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329901