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Duration for bonds with default risk

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  • Fooladi, Iraj J.
  • Roberts, Gordon S.
  • Skinner, Frank

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  • Fooladi, Iraj J. & Roberts, Gordon S. & Skinner, Frank, 1997. "Duration for bonds with default risk," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 1-16, January.
    • Handle: RePEc:eee:jbfina:v:21:y:1997:i:1:p:1-16
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    References listed on IDEAS

    as
    1. Prisman, Eliezer Z. & Tian, Yisong, 1993. "Duration measures, immunization, and utility maximization," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 689-707, June.
    2. Van Horne, James C., 1979. "Behavior of default-risk premiums for corporate bonds and commercial paper," Journal of Business Research, Elsevier, vol. 7(4), pages 301-313, December.
    3. M.A. Grove, 1974. "On "Duration" and the Optimal Maturity Structure of the Balance Sheet," Bell Journal of Economics, The RAND Corporation, vol. 5(2), pages 696-709, Autumn.
    4. Chance, Don M, 1990. "Default Risk and the Duration of Zero Coupon Bonds," Journal of Finance, American Finance Association, vol. 45(1), pages 265-274, March.
    5. Rodriguez, Ricardo J., 1988. "Default Risk, Yield Spreads, and Time to Maturity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 111-117, March.
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    Cited by:

    1. Luis Manuel Fernandes Rego & Jose António Filipe, 2012. "Interest Rate Risk Immunization - The Impact Of Credit Risk In The Quality Of Immunization Case Study: Immunization With Portuguese Bonds And German Bonds," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 2(4), pages 308-308.
    2. Sarkar, Sudipto & Hong, Gwangheon, 2004. "Effective duration of callable corporate bonds: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 499-521, March.
    3. Jacoby, Gady & Roberts, Gordon S., 2003. "Default- and call-adjusted duration for corporate bonds," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2297-2321, December.
    4. Fatemi, Ali & Fooladi, Iraj & Tehranian, Hassan, 2015. "Valuation effects of corporate social responsibility," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 182-192.
    5. Francisco Sotos, 2003. "Interest risk and default risk: A conditional volatility study," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 56-63, February.
    6. Poitras, Geoffrey & Zanotti, Giovanna, 2016. "Mortgage contract design and systemic risk immunization," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 320-331.
    7. Skinner, Frank S., 1998. "Hedging bonds subject to credit risk1," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 321-345, March.
    8. Sergio Ortobelli & Sebastiano Vitali & Marco Cassader & Tomáš Tichý, 2018. "Portfolio selection strategy for fixed income markets with immunization on average," Annals of Operations Research, Springer, vol. 260(1), pages 395-415, January.
    9. Chenghsien Tsai, 2009. "The Term Structure of Reserve Durations and the Duration of Aggregate Reserves," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 419-441, June.
    10. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.

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