Credit Risk, Liquidity, and Bubbles: Credit Risk, Liquidity, and Bubbles
Credit Risk, Liquidity, and Bubbles: Credit Risk, Liquidity, and Bubbles
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信用风险、流动性和泡沫：信用风险、流动性和泡沫
DOI：
10.1111/irfi.12239
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发表时间：
2018
影响因子：
1.7
通讯作者：
Protter, Philip
中科院分区：
文献类型：
--
作者：
Jarrow, Robert;Protter, Philip
本文提出了一种信用风险证券的无套利估值模型，其中信用风险与资产价格泡沫和流动性风险(或流动性成本)共存并相互作用。作为说明，该模型被应用于确定小额信贷的公平利率。
This paper presents an arbitrage‐free valuation model for a credit risky security where credit risk coexists and interacts with an asset price bubble and liquidity risk (or liquidity costs). As an illustration, this model is applied to determine the fair rate for microfinance loans.