scholarly journals AThe Effects of Public Loan Programs in Fishery Industry on Management Performance and Credit Rating Change from a BSC perspective

2016 ◽  
Vol 47 (2) ◽  
pp. 43-59 ◽  
Author(s):  
Il-Kon Park ◽  
Young-Soo Jang
2018 ◽  
Vol 11 (4) ◽  
pp. 87 ◽  
Author(s):  
Hong-Ming Yin ◽  
Jin Liang ◽  
Yuan Wu

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to happen a finite number of times during the life-span of the bond. The volatility of a corporate 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 improves the previous existing bond models in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kac formula, we obtain a free boundary problem. Global existence and uniqueness are established when the interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and some numerical calculations are shown.


2017 ◽  
Vol 13 (3) ◽  
pp. 563-585 ◽  
Author(s):  
Min-Shik Shin ◽  
◽  
Jae-Ik Lee ◽  
Ho-Yeong Jeong ◽  
◽  
...  

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