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Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt

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  • Lesseig, Vance P.
  • Stock, Duane

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  • Lesseig, Vance P. & Stock, Duane, 2000. "Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt," Journal of Business Research, Elsevier, vol. 49(3), pages 289-301, September.
    • Handle: RePEc:eee:jbrese:v:49:y:2000:i:3:p:289-301
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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. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    3. Naoki Kishimoto, 1989. "Pricing Contingent Claims under Interest Rate and Asset Price Risk," Journal of Finance, American Finance Association, vol. 44(3), pages 571-589, July.
    4. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    5. Rendleman, Richard J. & Bartter, Brit J., 1980. "The Pricing of Options on Debt Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 11-24, March.
    6. Cakici, Nusret & Chatterjee, Sris, 1993. "Market discipline, bank subordinated debt, and interest rate uncertainty," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 747-762, June.
    7. Garman, Mark B., 1985. "The duration of option portfolios," Journal of Financial Economics, Elsevier, vol. 14(2), pages 309-315, June.
    8. repec:bla:jfinan:v:44:y:1989:i:3:p:571-89 is not listed on IDEAS
    9. Bierwag, G. O., 1977. "Immunization, Duration, and the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(5), pages 725-742, December.
    10. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
    11. 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.
    12. Stock, Duane & Simonson, Donald G., 1988. "Tax-Adjusted Duration for Amortizing Debt Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 313-327, September.
    13. 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.
    14. Rendleman, Richard J, Jr & Bartter, Brit J, 1979. "Two-State Option Pricing," Journal of Finance, American Finance Association, vol. 34(5), pages 1093-1110, December.
    15. 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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    1. 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.

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