Structure Models for Measuring Credit Rating Migration Risks

Jin Liang and Bei Hu
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

Chapter Chapter 6 in Credit Rating Migration Risks in Structure Models, 2024, pp 109-122 from Springer

Abstract: Abstract Structural model is introduced to study credit rating migrations risks. Under the Merton Framework, a corporate bond to be a contingent claim of the firm’s value is considered, which is subject to credit rating migration risks. The models can be reduced to fixed or free boundary problems of partial differential equations (PDEs).

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_6

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DOI: 10.1007/978-981-97-2179-5_6

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