Modeling Term Structures of Defaultable Bonds

Darrell Duffie and Kenneth Singleton

The Review of Financial Studies, 1999, vol. 12, issue 4, 687-720

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.

Date: 1999
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The Review of Financial Studies is currently edited by Itay Goldstein

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