Credit Risk Pricing based on Epstein-Zin Preference

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dc.contributor.advisorSezer, Deniz
dc.contributor.authorMa, Junchi
dc.contributor.committeememberQiu, Jinniao
dc.contributor.committeememberSwishchuk, Anatoliy V.
dc.contributor.committeememberLiao, Wenyuan
dc.date2020-02
dc.date.accessioned2019-12-23T06:33:27Z
dc.date.available2019-12-23T06:33:27Z
dc.date.issued2019-12-20
dc.description.abstractWe present a consumption-based equilibrium framework for credit risk pricing in an Epstein-Zin setting. The default time is modeled as the first hitting time of a default boundary. Bond investors have imperfect information about the firm value which is unobservable. The state variables, consumption and volatility are modeled as affine diffusion processes. Using the Epstein-Zin equilibrium solution as the pricing kernel, the price of a zero-coupon bond is expressed as the solution of a system of a two-dimensional parabolic partial differential equation (PDE) which is solved numerically. The price under the imperfect information is derived based on the solution of a stochastic partial differential equation (SPDE). Finally, We analyze the implications of imperfect information and firm parameters on the yield spreads.en_US
dc.identifier.citationMa, J. (2019). Credit Risk Pricing based on Epstein-Zin Preference (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/37369
dc.identifier.urihttp://hdl.handle.net/1880/111383
dc.language.isoengen_US
dc.publisher.facultyScienceen_US
dc.publisher.institutionUniversity of Calgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.en_US
dc.subjectEpstein-Zin preferenceen_US
dc.subjectImperfect informationen_US
dc.subjectStochastic partial differential equationen_US
dc.subject.classificationBusiness Administration--Managementen_US
dc.subject.classificationEconomics--Financeen_US
dc.subject.classificationMathematicsen_US
dc.titleCredit Risk Pricing based on Epstein-Zin Preferenceen_US
dc.typemaster thesisen_US
thesis.degree.disciplineMathematics & Statisticsen_US
thesis.degree.grantorUniversity of Calgaryen_US
thesis.degree.nameMaster of Science (MSc)en_US
ucalgary.item.requestcopyfalseen_US
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