Modélisation des obligations à coupons en présence d'un risque de défaut

This paper presents a model for valuing coupon bonds when there is default risk. Default occurs at the first time the value of the firm's assets falls below a critical level. This critical level is defined as the total value of the debt faced by the firm. In case of default, the bondholder received a constant fraction of the bond value in case of no-default. A model displaying the features of the one factor interest model of Cox, Ingersoll and Ross (1985) and the explicit finite difference method as developed by Hull and White (1990) is developed. The model makes it possible to study the evolution of default spread as function of the variance of the firm's assets, the level of the short-term interest rate and the rate of loss in case of default. Lastly, the model is applied to an empirical study of the french bond market.