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Research Article | Open Access

The relationship between two kinds of structural credit migration models

Yang Lin1,2, Jin Liang2( )
Postdoctoral Research Center, Industrial and Commercial Bank of China, Beijing 100140, China
School of Mathematical Sciences, Tongji University, Shanghai 200092, China
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Abstract

In this paper, we presented an asymptotic relationship between the single threshold model and the model with different upgrade and downgrade thresholds for credit migration problems with fixed boundaries. By partial differential equation (PDE) techniques, we proved that the solution of the asymmetric threshold problem converges to that of a single threshold problem uniformly as one of the asymmetric thresholds approaches the other.

Keywords

credit migration riskdifferent upgrade and downgrade thresholdsasymptotic behaviorstructural modelcorporate bond pricing
CLC number: 35K40, 91G40

References

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AIMS Mathematics
Volume 9 Issue 2,
February 2024
Pages 4551-4561
DOI: 10.3934/math.2024219

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Lin Y, Liang J. The relationship between two kinds of structural credit migration models. AIMS Mathematics, 2024, 9(2): 4551-4561. https://doi.org/10.3934/math.2024219

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Received: 02 November 2023
Revised: 30 December 2023
Accepted: 08 January 2024
Published: 15 February 2024
©2024 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)