  The two main approaches in credit risk are the structural approach pioneered
in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull
(1995) and in Artzner & Delbaen (1995). The goal of this article is to provide
a unified view on both approaches. This is achieved by studying reduced-form
approaches under weak assumptions. In particular we do not assume the global
existence of a default intensity and allow default at fixed or predictable
times with positive probability, such as coupon payment dates.
  In this generalized framework we study dynamic term structures prone to
default risk following the forward-rate approach proposed in
Heath-Jarrow-Morton (1992). It turns out, that previously considered models
lead to arbitrage possibilities when default may happen at a predictable time
with positive probability. A suitable generalization of the forward-rate
approach contains an additional stochastic integral with atoms at predictable
times and necessary and sufficient conditions for a suitable no-arbitrage
condition (NAFL) are given. In the view of efficient implementations we develop
a new class of affine models which do not satisfy the standard assumption of
stochastic continuity.
  The chosen approach is intimately related to the theory of enlargement of
filtrations, to which we provide a small example by means of filtering theory
where the Azema supermartingale contains upward and downward jumps, both at
predictable and totally inaccessible stopping times.
