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Abstract: A framework is provided for pricing derivatives on defaultable bonds and other credit-risky contingent claims. The framework includes structural models (those in which the time of default is determined by the value of the issuing firm), general reduced-form models (those in which default is exogenous), and reducedform models in which default can occur only at specific times, such as coupon payment dates. Within the general framework, multiple recovery conventions for contingent claims are... (Update)
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BibTeX entry: (Update)
@misc{ belanger-unified,
author = "Alain Belanger and Steven E. Shreve and Dennis Wong",
title = "A Unified Model for Credit Derivatives",
url = "citeseer.ist.psu.edu/belanger02unified.html" }
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