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Modeling Term Structures of Defaultable Bonds

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  • Duffie, Darrell
  • Singleton, Kenneth J

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

Suggested Citation

  • Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
  • Handle: RePEc:oup:rfinst:v:12:y:1999:i:4:p:687-720
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