FREE BOUNDARIES OF CREDIT RATING MIGRATION IN SWITCHING MACRO REGIONS

Wu, Y; Liang, J

Liang, J (corresponding author), Tongji Univ, Sch Math Sci, Shanghai 200092, Peoples R China.

MATHEMATICAL CONTROL AND RELATED FIELDS, 2020; 10 (2): 257

Abstract

In this paper, under the structure framework, a valuation model for a corporate bond with credit rating migration risk and in macro regime switch is e......

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