Wong, Tsz-Lim. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 48-51). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Reduced-Form Model --- p.5 / Chapter 2.1 --- Information and Probabilistic Framework --- p.6 / Chapter 2.2 --- Poisson and Cox Process --- p.6 / Chapter 2.3 --- The Building Blocks of Pricing --- p.8 / Chapter 2.4 --- Comparing the Recovery Models --- p.10 / Chapter 3 --- General Equilibrium Model --- p.12 / Chapter 3.1 --- State Variables --- p.12 / Chapter 3.2 --- Investment Opportunities --- p.14 / Chapter 3.3 --- Preferences --- p.15 / Chapter 3.4 --- The Term Structure of Defaultable Bonds --- p.17 / Chapter 4 --- Methodologies --- p.24 / Chapter 5 --- SNP and EMM --- p.27 / Chapter 5.1 --- SNP Density --- p.27 / Chapter 5.2 --- EMM Estimation --- p.29 / Chapter 6 --- Empirical Results --- p.31 / Chapter 6.1 --- Data Description --- p.31 / Chapter 6.2 --- Estimation Results --- p.33 / Chapter 7 --- Conclusion --- p.42 / Chapter A --- Extended Nelson and Siegel Model --- p.44 / Chapter B --- Moment-Matching of the CIR Model --- p.46 / Bibliography --- p.48