Modeling Term Structures of Defaultable Bonds-英文文献.pdfVIP

Modeling Term Structures of Defaultable Bonds Darrell Duffie Stanford University Kenneth J. Singleton Stanford University and NBER This article presents convenient reduced-form models of the valuation of contin- gent 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. This article presents a new approach to modeling term structures of bonds and other contingent claims that are subject to default risk. As in previous “reduced-form” models, we treat default as an unpredictable event governed by a hazard-rate process.1 Our approach is distinguished by the parameter- ization of losses at default in terms of the fractional reduction in market value that occurs at default. Specifically, we fix some contingent claim that, in the event of no default, pays X at time T . We take as given an arbitrage-free setting in which all securities are priced in terms of some short-rate process r and equivalent martingale measure Q [see Harrison and Kreps (1979) and Harrison and Pliska (1981)]. Under this “risk-neutral” probability measure, we let ht denote the hazard rate for default at time t and let L t denote the expected fractional loss in market value if default were to occur at time t , conditional This article is a revised and extended version of the theoretical results from our earlier article “Econometric Modeling of Term Structures of Defaultable Bonds” (June 1994). The empirical results from that article, also revised and extended, are now found in “An Econometric Model of the Term Structure of Interest Rate Swap Yields” (Journal of Finance , October 1997). We are grateful for comments from many, including the anonymous referee, Ravi Jagannathan (the editor), Peter Carr, Ian Cooper, Qiang Dai, Ming Huang, Farshid Jams