Economics, Econometrics and Finance
4 years ago

New model predicts bond default risk, revolutionizing interest rate forecasting.

SSRN Electronic Journal
Modeling term structures of defaultable bonds
Darrell Duffie, Kenneth J. Singleton

Paper Summary

The article presents models for valuing bonds with default risk, focusing on interest rates for corporate or sovereign bonds. The models are used to value credit-spread options.

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