Modeling term structures of defaultable bonds

• 成果类型: Article
• 署名作者: Duffie, D; Singleton, KJ
• 署名单位: Stanford University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.4.687
• 发表日期: 1999
• 页码: 687
• 关键词: interest-rates; capital structure; corporate-debt; Credit risk; securities; valuation; options; spreads; yields

摘要

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.