文章基本信息

标题：On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
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作者：Hong-Ming Yin ; Jin Liang ; Yuan Wu 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2018
卷号：11
期号：4
DOI：10.3390/jrfm11040087
语种：English
出版社：MDPI, Open Access Journal
摘要：In this paper, we consider a new corporate bond-pricing model with credit-rating migrationrisks and a stochastic interest rate. In the new model, the criterion for rating change is based ona predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes areallowed to happen a finite number of times during the life-span of the bond. The volatility of acorporate bond price may have a jump when a credit rating for the bond is changed. Moreover,the volatility of the bond is also assumed to depend on the interest rate. This new model improvesthe previous existing bond models in which the rating change is only allowed to occur once with aninterest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kacformula, we obtain a free boundary problem. Global existence and uniqueness are established whenthe interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and somenumerical calculations are shown.
关键词：corporate bond-pricing model; multi credit rating migration; jump volatility; stochastic interest rate