Articlegreen1999

Modeling Term Structures of Defaultable Bonds

2,547 citations0/0 files storedReview of Financial Studies

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Stochastic processes and financial applications Corporate Insolvency and Governance Credit Risk and Financial Regulations

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.

Citations in this library

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 2008Stochastic differential equations and applications 2005Stochastic Integration and Differential Equations 1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1981Martingales and stochastic integrals in the theory of continuous trading

Cited by

2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2004Default Risk in Equity Returns 2001Prospect Theory and Asset Prices 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2012The Aggregate Demand for Treasury Debt 2001Explaining the Rate Spread on Corporate Bonds 2001Term Structures of Credit Spreads with Incomplete Accounting Information

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