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Modeling Term Structures of Defaultable Bonds

Darrell Duffie; Kenneth J. Singleton

Stanford University

Review of Financial Studies 1999

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.

DOI
10.1093/rfs/12.4.687
Volume
12 (4)
Pages
687-720
Language
en
Export
BibTeX
Sources
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