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Default- and call-adjusted duration for corporate bonds

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  • Jacoby, Gady
  • Roberts, Gordon S.

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  • 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.
    • Handle: RePEc:eee:jbfina:v:27:y:2003:i:12:p:2297-2321
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    References listed on IDEAS

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    1. Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. David F. Babbel & Craig Merrill & William Panning, 1997. "Default Risk and the Effective Duration of Bonds," Financial Analysts Journal, Taylor & Francis Journals, vol. 53(1), pages 35-44, January.
    4. Garman, Mark B., 1985. "The duration of option portfolios," Journal of Financial Economics, Elsevier, vol. 14(2), pages 309-315, June.
    5. Gady Jacoby, 2003. "A Duration Model For Defaultable Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(1), pages 129-146, March.
    6. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
    7. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
    8. Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 89-104, March.
    9. 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.
    10. repec:bla:jfinan:v:53:y:1998:i:6:p:2225-2241 is not listed on IDEAS
    11. 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.
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    Cited by:

    1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
    2. Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
    3. Shaffer, Sherrill, 2007. "Equity duration and convexity when firms can fail or stagnate," Finance Research Letters, Elsevier, vol. 4(4), pages 233-241, December.
    4. Brown, Scott & Powers, Eric, 2020. "The life cycle of make-whole call provisions," Journal of Corporate Finance, Elsevier, vol. 65(C).
    5. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
    6. Afik, Zvika & Jacoby, Gady & Stangeland, David & Wu, Zhenyu, 2019. "The make-whole and Canada-call provisions: A case of cross-country spillover of financial innovation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 120-127.
    7. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    8. Oliver Entrop & Marco Wilkens & Alexander Zeisler, 2009. "Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter," European Financial Management, European Financial Management Association, vol. 15(5), pages 1001-1018, November.
    9. Fooladi, Iraj J. & Jacoby, Gady & Jin, Lynn, 2021. "Real duration and inflation duration: A cross country perspective on a multidimensional hedging strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).

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