Due, D., and Singleton, K. J., 1999, "Modeling Term Structures of Defaultable Bonds", Working Paper, Graduate School of Business, Stanford University, Working Paper, Humboldt-Universitat, Berlin. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
A Unified Model for Credit Derivatives - Belanger, Shreve, al. (2001) (Correct)
....there is an intensity for the arrival of default or credit migration, and recovery is an exogenous process. In Jarrow, Lando Turnbull [23] the intensity for credit migration is constant; see also Litterman Iben [29] for a Markov chain model of credit migration. In the papers Due et al. 12] [13] and Lando [28] among others, the intensity of default is a random process. Since their inception, reduced form models have been used to price a wide variety of instruments; see, e.g. Das Tufano [7] Due [9] Due Singleton [13] Due Huang [10] Some recent papers on estimating the ....
....chain model of credit migration. In the papers Due et al. 12] 13] and Lando [28] among others, the intensity of default is a random process. Since their inception, reduced form models have been used to price a wide variety of instruments; see, e.g. Das Tufano [7] Due [9] Due Singleton [13], Due Huang [10] Some recent papers on estimating the parameters of these models are Collin Dufresne Solnik [6] and Du ee [8] Jarrow [22] sets up a reduced from model in which estimation can be based on equity prices as well as bond prices. A systematic development of mathematical tools for ....
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Duffie, D. & Singleton, K. (1999) Modeling term structures of defaultable bonds, Rev. Financial Studies 12, 687-720.
Estimating the Term Structure of Corporate Debt with a.. - Jarrow, Ruppert, Yu (Correct)
....of equity capital (see Jarrow and Turnbull (2000) the estimation of corporate term structures has become a topic of paramount interest. Indeed, corporate term structures are the primary input to pricing models for both corporate debt and credit derivatives (see Jarrow and Turnbull (1995) Due and Singleton (1999)) These term structures can also be used to infer the market s assessment of credit quality for related uses in risk management procedures (see Jarrow (2000) Although the literature studying the estimation of Treasury term structures is voluminous (see McCulloch (1971) Vasicek and Fong (1982) ....
Due, D. and K. Singleton (1999), "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12, (4): 197-226.
Corporate Bond Valuation Incorporating Target Liability Level - Hui, Lo (Correct)
....models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen [1992] Madan and Unal [1993] Jarrow, Lando, and Turnbull [1994] Jarrow and Turnbull [1995] and Duffie and Singleton [1997]. 2 Campbell (1986) shows that a constant l can be justified in a market equilibrium with log utility investors. l is absorbed into the term k(t)q(t) in the following calculation. 3 Regarding the impact on the dynamics of the drifted default barrier using normal parameters, the volatility of ....
Duffie, D., and K. Singleton. "Modeling Term Structures of Defaultable Bonds" Graduate School of Business, Stanford University, 1997.
On Stochastic Models of Interest Rates with Jumps - Lin (1999) (Correct)
....discretely compounding risky rates and develop a model in this case. We should note that the modeling of defaultable rates is rather new, but there are two main approaches described in the papers of Merton [18] and Jarrow and Turnbull 50 [14] Additional papers which extend these results include [9], 17] and [3] All these papers examine instantaneous rates (which parallels the development of risk free interest rate modeling) with only a few examining forward rates in depth. Our approach is new in examining discretely compounding rates for risky bonds. 4.1 Introduction We will begin by ....
Duffie, D. and Singleton, K. Modeling the term structure of defaultable bonds. Working paper, Stanford University, 1997.
Stress-Testing Model of Defaultable Bond Values - Lo, Hui (Correct)
....models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen (1992) Madan and Unal (1993) Jarrow, Lando, and Turnbull (1994) Jarrow and Turnbull (1995) and Duffie and Singleton (1997). The derived pricing formulas can be calibrated to market credit spreads. Under stressful market conditions, equity markets and bond markets would be volatile and illiquid. It would be difficult to determine actual assets and liabilities of the bond issuers and to input them as parameters in the ....
Duffie, D., Singleton, K., 1997. Modeling Term Structures of Defaultable Bonds. Graduate School of Business, Stanford University, 1997.
Pricing of CAT Bonds - Baryshnikov, Mayo, Taylor (1998) (Correct)
....returns, in part, because of this potential defaultability. Similarly, CAT bonds are currently offered at high yields because of the unpredictable nature of the catastrophe process. With this in mind, a number of pricing models for defaultable bonds have been advanced (Jarrow Turnbull (1995) Duffie Singleton (1997), Zhou (1997) and subsequently used for credit derivative pricing. The trigger event for the default process has similar statistical characteristics to that of the equivalent catastrophic event pertaining to CAT bonds, i.e. a single event with an overriding impact on the bond value. The initial ....
Duffie, D. and Singleton, K. J. (1997) "Modeling Term Structures of Defaultable Bonds", Preprint, Stanford University.
Model Calibration in Mathematical Finance - Newman (1999) (Correct)
....29 3.3 Commonly Used Risky Bond Models This section is divided into two parts. We rst describe general styles of modeling along with some modeling principals. We then describes two risky bond models in detail. They are the Jarrow and Turnbull model and the Due and Singleton model (see [30] and [18], respectively, for details) In fact, what we present here is a modi ed version of the Jarrow and Turnbull model. This modi cation is explained below. There are two ways in which default is usually modeled. One way is to model economic state variables and have default occur whenever a particular ....
Due, D. and Singleton, K. \Modeling Term Structures of Defaultable Bonds." Working Paper, Graduate School of Business, Stanford University, 1997.
Valuation of Defaultable Bonds Using Signaling Process - An.. - Lo, Hui (Correct)
....models in which default time is a stopping time of some given hazard rate process and the payoff upon default is specified exogenously. This approach has been considered by Artzner and Delbaen [1992] Madan and Unal [1993] Jarrow, Lando, and Turnbull [1994] Jarrow and Turnbull [1995] and Duffie and Singleton [1997]. A middle ground model between the structure model and the reduced form models is developed by Cathcart and El Jahel [1998] In the model, default occurs when some signaling process hits some lower constant default barrier. The model assumes the signaling process for each firm that determines ....
Duffie, D., and K. Singleton. "Modeling Term Structures of Defaultable Bonds." Graduate School of Business, Stanford University, 1997.
"True" Stochastic Volatility and a Generalized Class of.. - Collin-Dufresne.. (2000) Self-citation (Due Singleton) (Correct)
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D. Due and K. Singleton. Modeling term structures of defaultable bonds. ### ###### ## ######### #######,12nb. 4:687-720, 1999.
Credit Risk Models II: Structural Models - Elizalde (2003) (Correct)
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Due, D., and Singleton, K. J., 1999, "Modeling Term Structures of Defaultable Bonds", Working Paper, Graduate School of Business, Stanford University, Working Paper, Humboldt-Universitat, Berlin.
A Unified Model for Credit Derivatives - Belanger, Shreve, Wong (2002) (Correct)
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Duffie, D. & Singleton, K. (1999) Modeling term structures of defaultable bonds, Rev. Financial Studies 12, 687--720.
On Default Correlation: A Copula Function Approach - Li (2000) (6 citations) (Correct)
No context found.
Duffie, D. and Singleton, K. Modeling Term Structure of Defaultable Bonds, Working paper, Graduate School of Business, Stanford University, (1997).
On the Pricing of Credit Spread Options: a Two Factor.. - Garcia, Van Ginderen.. (2001) (Correct)
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Darrel Duffie and K.J. Singleton, Modeling Term Structure of Defaultable Bonds, working paper The Graduate School of Business, Stanford University, first version 1994.
A Tree Implementation of a Credit Spread Model for Credit.. - Schönbucher (Correct)
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Dart'ell Duffie and Kenneth J. Singleton. Modeling term structures of defaultable bonds. Working paper, The Graduate School of Business, Stanford University, Stanford, June 1994.
Default Hazards And The Term Structure Of Credit Spreads In.. - Khadem, Perraudin (2001) (Correct)
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Duffie, D., and K. Singleton (1999): \Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12(4), 687-720.
How to Explain a Corporate Credit Spread - Borkovec, Szimayer (Correct)
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Duffie, D. and Singleton, K. J. (1999) Modeling Term Structures of Defaultable Bonds. in: Review of Financial Studies 12, Oxford University Press, Oxford, pp. 679-720
Estimating the Price of Default Risk - Duffee (1996) (5 citations) (Correct)
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Duffie, Darrell, and Kenneth J. Singleton, 1995a, "Modeling term structures of defaultable bonds," Working paper, Stanford Graduate School of Business (Stanford, CA).
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing.. - Zhou (1997) (4 citations) (Correct)
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Duffie, D. and K.J. Singleton(1995): "Modeling term structures of defaultable bonds," Working paper, Stanford University Business School.
The Valuation of Vulnerable Options and Forward Contracts in a.. - Ammann (1999) (Correct)
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Duffie, D., and K. Singleton (1995): "Modeling Term Structures of Defaultable Bonds," Discussion paper, Graduate School of Business, Stanford University.
Stable Modeling of Credit Risk - Rachev, Schwartz, Khindanova (Correct)
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Duffie, D. and K. Singleton, 1999, "Modeling Term Structures of Defaultable Bonds", The Review of Financial Studies, Vol. 12, No. 4, 687-720.
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