Modeling term structures of defaultable bonds

被引：906
作者：
Duffie, D
Singleton, KJ [1 ]
机构：
[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA
[2] NBER, Cambridge, MA 02138 USA
来源：
REVIEW OF FINANCIAL STUDIES | 1999年 / 12卷 / 04期
关键词：
D O I：
10.1093/rfs/12.4.687
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：687 / 720
页数：34
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