Theoretical Results in the Structural Credit Rating Migration Models

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 7 in Credit Rating Migration Risks in Structure Models, 2024, pp 123-166 from Springer

Abstract: Abstract In Chap. 6 , basic structure models for measure credit rating migration have been established. In this Chapter, the existence, uniqueness and the properties of the solutions of these models are studied. For predetermined migration boundary problems, the mathematical results are already very well known, so our primary focus is on the free migration boundary problems.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_7

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DOI: 10.1007/978-981-97-2179-5_7

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