The relationship between two kinds of structural credit migration models

The relationship between two kinds of structural credit migration models

Blog Article

In this paper, we presented an asymptotic relationship between the single threshold model and the model with accessory 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 Arnica of a single threshold problem uniformly as one of the asymmetric thresholds approaches the other.