@article{Mu2025, 
author = {Wanrong Mu and Congjin Zhou},
title = {Indifference valuation of non-performing loan-backed securities},
year = {2025},
journal = {AIMS Mathematics},
volume = {10},
number = {10},
pages = {23394-23410},
keywords = {non-performing loans, indifference pricing, regime-switching, Cox process, exponential utility},
url = {https://www.sciopen.com/article/10.3934/math.20251039},
doi = {10.3934/math.20251039},
abstract = {This paper developed a unified framework for valuing non-performing loan (NPL)-backed securities under regime-switching macroeconomic conditions. The stochastic timing of NPL repayments were modeled by a Cox process with regime-dependent intensity, while investor risk aversion was incorporated through utility indifference pricing. Analytical solutions were obtained in a two-regime setting. Numerical results showed how risk aversion, repayment intensity, and macroeconomic state jointly affected the indifference price of NPL-backed securities.}
}