Defaultable Term Structure Models is a class of mathematical frameworks in interest rate modeling that extend classical term structure models to incorporate the risk of default, thereby enabling the joint modeling of interest rates and credit risk for pricing and hedging defaultable bonds and related derivatives.
138
Publications
20.7K
Citations
241
Authors
172
Institutions
Publications per year
2017–2026
12
Parents
Publications
138
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Modeling Term Structures of Defaultable Bonds
Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations
1–5 of 138
Authors
241
- JR
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- DD
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- DF
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- TS
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- KJ
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1–5 of 241
Institutions
172
National Bureau of Economic Research
Cambridge, United States
8 h-index
10 publications
1.2K citations
University of Toronto
Toronto, Canada
7 h-index
9 publications
855 citations
École Polytechnique Fédérale de Lausanne
Lausanne, Switzerland
5 h-index
6 publications
509 citations
University of Lausanne
Lausanne, Switzerland
5 h-index
5 publications
161 citations
Swiss Finance Institute
Zurich, Switzerland
5 h-index
6 publications
500 citations
Federal Reserve
Washington D.C., United States
4 h-index
5 publications
230 citations
Banque de France
Paris, France
4 h-index
8 publications
270 citations
New York University
New York, United States
4 h-index
5 publications
165 citations
1–8 of 172
Venues
- SSRN Electronic Journal
Repository · 23 publications · 1.1K citations
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- Journal of Banking & Finance
8 publications · 279 citations
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- The Journal of Finance
7 publications · 2.4K citations
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- Mathematical Finance
6 publications · 338 citations
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- Finance and Stochastics
5 publications · 570 citations
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