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Modeling Term Structures of Defaultable Bonds

Darrell Duffie; Kenneth J. Singleton
Review of Financial Studies 1999 12(4), 687-720
[This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option.]

Modeling Term Structures of Defaultable Bonds

Darrell Duffie; Kenneth J. Singleton
Review of Financial Studies 1999 12(4), 687-720
This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option.