Farnsworth, Heber; Li, Tao - In: Journal of Financial and Quantitative Analysis 42 (2007) 03, pp. 595-620
There is a large and growing literature on how to model the dynamics of the default-free term structure to fit the observed historical data. Much less is known about how best to model the dynamics of defaultable yield curves. This paper develops a class of defaultable term structure models that...
