A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
提出一个闭式两因素危险率模型来定价风险债务，用企业非利率敏感资产和无风险利率捕捉违约可能性，能分析资本结构变化对信用利差的影响，且模型结果与实证观察一致。
This paper proposes a two-factor hazard rate model, in closed form, to price risky debt. The likelihood of default is captured by the firm's non-interest sensitive assets and defaultfree interest rates. The distinguishing features of the model are threefold. First, the impact of capital structure changes on credit spreads can be analyzed. Second, the model allows stochastic interest rates to impact current asset values as well as their evolution. Finally, the proposed model is in closed form, enabling us to undertake comparative statics analysis, compute parameter deltas of the model, calibrate empirical credit spreads, and determine hedge positions. Credit spreads generated by our model are consistent with empirical observations.