Acharya, Viral V; Das, Sanjiv Ranjan; Sundaram, Rangarajan K - C.E.P.R. Discussion Papers - 2002
We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Heath-Jarrow-Morton (1990) term-structure model and its extension, the Das-Sundaram (2000) model to allow for defaultable debt with...