Similar Search Results

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

Valuation of loan credit default swaps correlated prepayment and default risks with stochastic recovery rate

Wu, Yuan; Liang, Jin - In: International journal of financial research 3 (2012) 2, pp. 60-68

Persistent link: https://www.econbiz.de/10009630619

Utility indifference valuation of corporate bond with credit rating migration by structure approach

Liang, Jin; Zhao, Yuejuan; Zhang, Xudan - In: Economic modelling 54 (2016), pp. 339-346

Persistent link: https://www.econbiz.de/10011642188

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