{"id":{"repo_id":"calgary","oai_identifier":"oai:ucalgary.scholaris.ca:1880/111383"},"canonical_url":"https://search.dev.ndltd.org/etd/calgary/oai:ucalgary.scholaris.ca:1880/111383","repository":{"repo_id":"calgary","name":"University of Calgary","base_url":"https://ucalgary.scholaris.ca/server/oai/request"},"display":{"title":"Credit Risk Pricing based on Epstein-Zin Preference","abstract":"We 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.","abstract_html":"We 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.","abstract_has_math":false,"creators":["Ma, Junchi"],"institution":"Science","degree_name":"Master of Science (MSc)","degree_level":null,"degree_discipline":"Mathematics & Statistics","degree_department":null,"school":null,"contributors":[],"advisors":["Sezer, Deniz"],"committee_chairs":[],"committee_members":["Qiu, Jinniao","Swishchuk, Anatoliy V.","Liao, Wenyuan"],"year":2019,"date_issued":"2019-12-20","date_published":"2019-12-20","updated_at":"2026-07-24T01:30:33Z","subjects":["Epstein-Zin preference","Imperfect information","Stochastic partial differential equation"],"languages":["eng"],"rights":["University 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."],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier.doi","label":"DOI","values":["http://dx.doi.org/10.11575/PRISM/37369"],"render_values":[{"text":"http://dx.doi.org/10.11575/PRISM/37369","href":"http://dx.doi.org/10.11575/PRISM/37369","code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/1880/111383","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Sezer, Deniz"]},{"key":"dc:contributor.committeemember","label":"Committee Member","values":["Qiu, Jinniao","Swishchuk, Anatoliy V.","Liao, Wenyuan"]},{"key":"dc:creator","label":"Author","values":["Ma, Junchi"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2020-02"]},{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2019-12-23T06:33:27Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2019-12-23T06:33:27Z"]},{"key":"dc:date.issued","label":"Date","values":["2019-12-20"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Calgary"]},{"key":"dc:type","label":"Dc Type","values":["master thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Mathematics & Statistics"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Master of Science (MSc)"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Calgary"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Epstein-Zin preference","Imperfect information","Stochastic partial differential equation"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["University 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."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.doi","label":"DOI","values":["http://dx.doi.org/10.11575/PRISM/37369"]},{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/1880/111383"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["We 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."]},{"key":"dc:title","label":"Title","values":["Credit Risk Pricing based on Epstein-Zin Preference"]}]}],"canonical_facts":{"dc:contributor.advisor":["Sezer, Deniz"],"dc:contributor.committeemember":["Qiu, Jinniao","Swishchuk, Anatoliy V.","Liao, Wenyuan"],"dc:creator":["Ma, Junchi"],"dc:date":["2020-02"],"dc:date.accessioned":["2019-12-23T06:33:27Z"],"dc:date.available":["2019-12-23T06:33:27Z"],"dc:date.issued":["2019-12-20"],"dc:description.abstract":["We 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."],"dc:identifier.doi":["http://dx.doi.org/10.11575/PRISM/37369"],"dc:identifier.uri":["http://hdl.handle.net/1880/111383"],"dc:language.iso":["eng"],"dc:publisher.institution":["University of Calgary"],"dc:rights":["University 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."],"dc:subject":["Epstein-Zin preference","Imperfect information","Stochastic partial differential equation"],"dc:title":["Credit Risk Pricing based on Epstein-Zin Preference"],"dc:type":["master thesis"],"thesis:degree_discipline":["Mathematics & Statistics"],"thesis:degree_name":["Master of Science (MSc)"],"thesis:institution_name":["University of Calgary"]},"updated_at":"2026-07-24T01:30:33Z"}