Defaultable Bond Valuation is a methodological framework within fixed-income analytics that determines the fair value of a bond by incorporating the probability of issuer default and the expected loss given default, distinguishing it from standard bond valuation approaches by explicitly accounting for credit risk.
183
Publications
18.9K
Citations
289
Authors
211
Institutions
Publications per year
2017–2026
12
Parents
Publications
183
Modeling Term Structures of Defaultable Bonds
Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations
Counterparty Risk and the Pricing of Defaultable Securities
Robert A. Jarrow, Fan Yu · The Journal of Finance · 2001 · 671 citations
1–5 of 183
Authors
289
- EI
8
h-index
- FY
6
h-index
- MR
5
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- DB
5
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- GB
4
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1–5 of 289
Institutions
211
New York University
New York, United States
10 h-index
15 publications
1.4K citations
National Bureau of Economic Research
Cambridge, United States
5 h-index
7 publications
918 citations
Morgan Stanley (United States)
New York, United States
5 h-index
5 publications
269 citations
Cornell University
Ithaca, United States
4 h-index
4 publications
3.3K citations
Temple University
Philadelphia, United States
4 h-index
5 publications
374 citations
Federal Reserve
Washington D.C., United States
4 h-index
6 publications
227 citations
Warsaw University of Technology
Warsaw, Poland
4 h-index
5 publications
224 citations
Princeton University
Princeton, United States
4 h-index
7 publications
587 citations
1–8 of 211
Venues
- SSRN Electronic Journal
Repository · 36 publications · 2K citations
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- The Journal of Finance
12 publications · 3.8K citations
11
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- The Journal of Fixed Income
12 publications · 638 citations
11
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- Financial Analysts Journal
FAJ · 8 publications · 1.3K citations
8
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- Journal of Financial and Quantitative Analysis
JFQA · 8 publications · 897 citations
8
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1–5