Default risk and the effective duration of bonds

Financial Analysts Journal

Volumn 53, Issue 1, 1997, Pages 35-44

  Babbel, David F ^a   Merrill, Craig ^b   Panning, William ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b BRIGHAM YOUNG UNIVERSITY   (United States)

^c NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039770329     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v53.n1.2054     Document Type: Article

References (13)

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4. Babbel, David F. 1983. "Duration and the Term Structure of Interest Rate Volatility." In Innovations in Bond Portfolio Management: Duration Analysis and Immunization, edited by George G. Kaufman, G.O. Bierwag, and Alden Toevs. Greenwich, CT: JAI Press.
5. _. 1988. "Interest Rate Dynamics and the Term Structure." Journal of Banking and Finance, vol. 12, no. 3 (September):401-17.
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9. Bierwag, G.O., George G. Kaufman, and Cynthia M. Latta. 1987. "Bond Portfolio Immunization: Tests of Maturity, One- and Two-Factor Duration Matching Strategies." Financial Review, vol. 22, no. 2 (May):203-19.
10. _. 1988. "Duration Models: A Taxonomy." Occasional paper, Research Department of the Federal Reserve Bank of Chicago (June):1-13.
11. Blume, Marshall E., Donald B. Keim, and Sandeep A. Patel. 1991. "Returns and Volatility of Low-Grade Bonds." Journal of Finance, vol. 46, no. 1 (March):49-74.
12. Ramaswamy, K., and Suresh M. Sundaresan. 1986. "The Valuation of Floating Rate Instruments: Theory and Evidence." Journal of Financial Economics, vol. 17, no. 2 (December):251-72.
13. Warner, Jerold B. 1977. "Bankruptcy, Absolute Priority, and the Pricing of Risky Debt Claims." Journal of Financial Economics, vol. 4, no. 3 (September):239-76.