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On a corporate bond pricing model with credit rating migration risks and stochastic interest rate

Liang, Jin; Yin, Hong-Ming; Chen, Xinfu; Wu, Yuan - In: Quantitative finance and economics 1 (2017) 3, pp. 300-319

Persistent link: https://www.econbiz.de/10012137817

On a new corporate bond pricing model with potential credit rating change and stochastic interest rate

Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...

Persistent link: https://www.econbiz.de/10011960410

Valuation of a basket loan credit default swap

Liang, Jin; Zhou, Yujing - In: International journal of financial research 1 (2010) 1, pp. 21-29

Persistent link: https://www.econbiz.de/10009305958

Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285

Persistent link: https://www.econbiz.de/10009667379

Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process

Wu, Sen; Jiang, Lishang; Liang, Jin - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10009624491

Pricing for basket CDS and LCDS

Wang, Tao; Liang, Jin; Yang, Xiaoli - In: Modern economy 3 (2012) 2, pp. 171-178

Persistent link: https://www.econbiz.de/10009703824

Valuation of credit contingent interest rate swap

Liang, Jin; Xu, Yin - In: Risk and decision analysis 4 (2013) 1, pp. 39-46

Persistent link: https://www.econbiz.de/10009782583

Valuation of portfolio credit derivatives with default intensities using the Vasicek model

Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin - In: Asia-Pacific financial markets 18 (2011) 1, pp. 33-54

Persistent link: https://www.econbiz.de/10009237750

Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction

Liang, Jin; Huang, Wenlin - In: Mathematics and financial economics 16 (2022) 1, pp. 89-123

Persistent link: https://www.econbiz.de/10013167708

Empirical validation of the credit rating migration model for estimating the migration boundary

Lin, Yang; Liang, Jin - In: The journal of risk model validation 15 (2021) 2, pp. 39-61

Persistent link: https://www.econbiz.de/10012817214