Default probability of multiperiods coupon bond based on classical approach

Credit risk theory for valuation corporate bond is usually expressed as zero coupon bond. In real bond trading, the most common form of debt is coupon bond. This paper developed model of multiperiods coupon bond with classical approach as default time rule. It means that default occurs when the firm cannot fulfill its payment obligation at coupon date and/or at the maturity date. Some assumptions is used, these are the asset value is log-normally distributed and the universe is risk neutral. The aim of this paper is deriving a fix solution for the value of a multiperiods coupon bond within the framework of the classical model. We used straight forward integration technique and conditional probability theory to derive the equation of default probability. As a result, default probability of the bond at each coupon date is formed in bivariate normal distribution term.