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中文摘要：
假定即时利差过程存在跳风险并与无风险的即时利率相关，建立了两因素信用价差简化模型．利用随机分析和偏微分方程的方法，讨论了违约债券的信用价差和违约概率的期限结构，并应用数值算例分析了期限结构的变动规律．结果表明该模型能较好地拟合实际。
英文摘要：
A two-factor reduced-form model on the instantaneous spread with jump risks is developed, where there exists the correlation between the spot interest rate and the instantaneous spread. The term structures of both credit spreads and default probability for defaultable bond are discussed, and are also analyzed with numerical examples. The results show that this model is capable of fitting the fact.
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