Download or read book Endogenous Default, Bond Pricing and Term Structure of Credit Spread Under Stochastic Volatility written by Yanping Pan and published by . This book was released on 2006 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the presence of a short time scale in the volatility process has a significant effect on the valuation of debt, the credit yield spread and the cumulative default probability. We argue that combining endogenous default modelling with stochastic volatility produces realistic results.