Das, S. and Tufano, P. (1996) Pricing Credit Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are Stochastic. Journal of Financial Engineering, 5, 161-198.

has been cited by the following article:

• TITLE: A Regime Switching Model for the Term Structure of Credit Risk Spreads

  AUTHORS: Seungmook Choi, Michael D. Marcozzi

  KEYWORDS: Optimal Stopping, Failure Rate, Regime Switching, Credit Risk Spreads

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.1, February 13, 2015

  ABSTRACT: We consider a rating-based model for the term structure of credit risk spreads wherein the credit-worthiness of the issuer is represented as a finite-state continuous time Markov process. This approach entails a progressive drift in credit quality towards default. A model of the economy is presented featuring stochastic transition probabilities; credit instruments are valued via an ultra parabolic Hamilton-Jacobi system of equations discretized utilizing the method-of-lines finite difference method. Computations for a callable bond are presented demonstrating the efficiency of the method.