The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Modeling Term Structures of Defaultable Bonds
Open accessAbstract
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.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
On Default Correlation: A Copula Function Approach
Li, D. X. (2000) · The Journal of Fixed Income · doi:10.3905/jfi.2000.319253 · Cited by 1,257
On cox processes and credit risky securities
Lando, D. (1998) · Review of Derivatives Research · doi:10.1007/bf01531332 · Cited by 1,208
Equity Volatility and Corporate Bond Yields
Campbell, J. Y., & Taksler, G. B. (2003) · The Journal of Finance · doi:10.1046/j.1540-6261.2003.00607.x · Cited by 1,206
How Sovereign Is Sovereign Credit Risk?
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011) · American Economic Journal: Macroeconomics · doi:10.1257/mac.3.2.75 · Cited by 1,083
Self-citation
Metadata
- Authors
- Duffie, D., & Singleton, K. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1999-07-02
- Volume
- 12
- Issue
- 4
- Pages
- 687-720
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2011886674
- Cited by
- 2,542
- References
- 1
- FWCI
- 112.79
- Type
- journal article
- Language
- en
- Open access
- green
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- Duffie, D., & Singleton, K. J. (1999). Modeling Term Structures of Defaultable Bonds. Review of Financial Studies. https://doi.org/10.1093/rfs/12.4.687
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
