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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (3): 1-6.

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The Analysis of a Term Structure Model for Defaultable Bonds

LIANG Shi-dong, GUO Bing, FANG Zhao-ben   

  1. Department of Statistics and Finance, University of Science & Techonology of China, Hefei 230026, China
  • Received:2003-03-24 Online:2004-06-28 Published:2012-03-07

Abstract: Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery of risk-free bonds,we constructed the discrete term structure model of defaultable bonds.This model belongs to the Intensity Model Category.

Key words: credit risk, term structure, discrete, intensity model

CLC Number: