Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (155)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Duffie, D.
Right arrow Articles by Singleton, K. J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1999; 12:687-720
© 1999 the Society for Financial Studies

Article

Modeling term structures of defaultable bonds

D Duffie and KJ Singleton
Stanford University, USA
Stanford University and NBER, USA
Correspondence to: K Singleton, Graduate School of Business, Stanford University, Stanford, CA 94305-5015, USA

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.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
A. David
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle
Rev. Financ. Stud., May 15, 2008; (2008) hhm041v2.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
S. Thompson
Identifying Term Structure Volatility from the LIBOR-Swap Curve
Rev. Financ. Stud., April 1, 2008; 21(2): 819 - 854.
[Abstract] [Full Text] [PDF]

Home page
 Review of FinanceHome page
H. Kraft and M. Steffensen
Bankruptcy, Counterparty Risk, and Contagion
Review of Finance, March 13, 2007; (2007) rfm002v1.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
C. Gourieroux, A. Monfort, and V. Polimenis
Affine Models for Credit Risk Analysis
J. Financial Econometrics, July 1, 2006; 4(3): 494 - 530.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Duarte, F. A. Longstaff, and F. Yu
Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?
Rev. Financ. Stud., May 1, 2005; 20(3): 769 - 811.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
P. Gagliardini and C. Gourieroux
Stochastic Migration Models with Application to Corporate Risk
J. Financial Econometrics, April 1, 2005; 3(2): 188 - 226.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
C. Alexander
The Present and Future of Financial Risk Management
J. Financial Econometrics, January 1, 2005; 3(1): 3 - 25.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Driessen
Is Default Event Risk Priced in Corporate Bonds?
Rev. Financ. Stud., January 1, 2005; 18(1): 165 - 195.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
Y. H. Eom, J. Helwege, and J.-Z. Huang
Structural Models of Corporate Bond Pricing: An Empirical Analysis
Rev. Financ. Stud., April 1, 2004; 17(2): 499 - 544.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.