Spread term structure and and default correlation

The aim of this paper is to extend the results of Jarrow, Yu (2001) onthe spread term structures of corporate bonds. We first consider differentcharacterisations of these term structures, when the available informationcorresponds to the default histories of the firms. The approach is then ex-tended to factor models, both in a static and in a dynamic framework. Wediscuss in details the links between default correlation and jumps in shortterm spreads, and how these phenomenons depend on the available informa-tion.