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Brody, D. C., Hughston, L. P., & Macrina, A. (2007). Beyond Hazard Rates: A New Framework for Credit-Risk Modelling. In M. C. Fu, R. A. Jarrow, J.-Y. J. Yen, & R. J. Elliott (Eds.), Advances in Mathematical Finance (pp. 231-257). Birkhäuser.
https://doi.org/10.1007/978-0-8176-4545-8_13

has been cited by the following article:

• TITLE: Analytical Approximation for Treasury Bill Default Spreads, Profits and Losses Equations

  AUTHORS: Rogelio Rodriguez-Oliveros, Javier Martin-Viscasillas, Jose M. Garcia-Romero

  KEYWORDS: Risk Modelling, Credit Risk, Default Spread, Theta Effect

  JOURNAL NAME: Journal of Financial Risk Management, Vol.11 No.4, December 29, 2022

  ABSTRACT: In this work, we introduce expressions for the default spread calculation based on an approximation of the discount factor, for the specific case of Treasury Bills. Additionally, expressions for the profit and losses array are obtained supported by a pass-time yield correction. Some relevant limits are explored as well in order to illustrate the large range model applicability. Treasury Bills are especially relevant within the banking industry since the financial institutions usually hold the largest portfolio position in them.