Title: Modeling term structures of defaultable bonds
Abstract: 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.
Publication Year: 1999
Publication Date: 1999-05-21
Language: en
Type: article
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Cited By Count: 225
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