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- W2053533008 abstract "Based on the model of Duffie & Singleton (1999), this paper constructs a simpler reduced-form model of credit risk pricing. The result shows that, the model largely simplifies the calculation process of the traditional reduced-form model without affecting calculation accuracy. Lastly, empirical studies on credit spreads of risk bonds are made using the data of the Chinese bond market, which fairly confirms the rationality of the theory." @default.
- W2053533008 created "2016-06-24" @default.
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- W2053533008 date "2011-05-01" @default.
- W2053533008 modified "2023-09-27" @default.
- W2053533008 title "The Pricing of Credit Risk under Reduced-Form Model" @default.
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- W2053533008 doi "https://doi.org/10.1109/caman.2011.5778835" @default.
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