Duration for bonds with default risk

Article Abstract:

The study broadened Jonkhart's (1979) term structure for interest rates and default risk to include risk aversion in its effort to formulate a general representation for the duration of bonds that are not default-free. Terms of default payoffs and default probabilities in every period and for the gap between the final default payoff and when the default happens are also considered in the model. The study concluded that practical applications that concern bonds with default risk need to adopt duration measures that are calibrated to incorporate default risk.

Financial Services, Finance and Insurance, Interest Rates, Public & Private Bonds, Research, Models, Bonds, Bonds (Securities)

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Default- and call-adjusted duration for corporate bonds

Article Abstract:

The possible impact of callability and nonpayment risks on the duration and volumes of assured cash flows, with reference to the risky corporate bonds is studied. The study also facilitates the discovery of callable and non callable indices.

United States, Management dynamics, Corporate Bonds, Analysis, Management, Company business management, Cash flow

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