Modeling Term Structures of Defaultable Bonds

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Modeling Term Structures of Defaultable Bonds

by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University and NBER

February 4, 1999

Abstract: This paper 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.

Published in: Review of Financial Studies, Vol. 12, No. 4, (Special 1999), pp. 687-720.

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