A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds

ýThe aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in Rý. ýAgliardiý, ýA comprehensive structural model for defaultable fixed-income bondsæ Quantý. ýFinance 11 (2011)ý, ýnoý. ý5ý, ý749--762.) into a comprehensive unified model of structural and reduced form modelsý. ýIn our model the bond holders receive the deterministic coupon at predetermined coupon dates and the face value (debt) and the coupon at the maturity as well as the effect of government taxes which are paid on the proceeds of an investment in bonds is consideredý. ýThe expected default event occurs when the equity value is not enough to pay coupon or debt at the coupon dates or maturity and an unexpected default event can occur at any time interval with the probability of given default intensityý. ýWe consider the model and pricing formula for equity value and using it calculate expected default barrierý. ýThen we provide pricing model and formula for defaultable corporate bonds with discrete couponsý, ýand consider the duration and the effect of the government taxesý.