Credit Risk, Liquidity, and Bubbles

被引：2
|
作者：
Jarrow, Robert [1 ,2 ]
Protter, Philip [3 ]
机构：
[1] Cornell Univ, Samuel Curtis Johnson Grad Sch Management, Ithaca, NY 14853 USA
[2] Kamakura Corp, Honolulu, HI USA
[3] Columbia Univ, Dept Stat, New York, NY USA
来源：
INTERNATIONAL REVIEW OF FINANCE | 2020年 / 20卷 / 03期
关键词：
D O I：
10.1111/irfi.12239
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：737 / 746
页数：10
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