Credit Risk, Liquidity, and Bubbles
Robert Jarrow () and
Philip Protter
International Review of Finance, 2020, vol. 20, issue 3, 737-746
Abstract:
This paper presents an arbitrage‐free valuation model for a credit risky security where credit risk coexists and interacts with an asset price bubble and liquidity risk (or liquidity costs). As an illustration, this model is applied to determine the fair rate for microfinance loans.
Date: 2020
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https://doi.org/10.1111/irfi.12239
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Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:20:y:2020:i:3:p:737-746
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