Modeling Term Structures of Defaultable Bonds.

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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

MoreLess

Year of publication:	1999
Authors:	Duffie, Darrell ; Singleton, Kenneth J
Published in:	Review of Financial Studies. - Society for Financial Studies - SFS. - Vol. 12.1999, 4, p. 687-720
Publisher:	Society for Financial Studies - SFS

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005743922