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Modeling term structures of defaultable bonds |
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| Authors: | Duffie D; Singleton KJ |
| Institution: | 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 thevaluation of contingent claims subject to default risk, focusingon applications to the term structure of interest rates forcorporate or sovereign bonds. Examples include the valuationof a credit-spread option. |
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