Hedging bonds subject to credit risk

Journal of Banking and Finance

Volumn 22, Issue 3, 1998, Pages 321-345

  Skinner, Frank S ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

Basis risk; Credit risk; G11; G24; G33; Hedging; Interest rate risk

Indexed keywords

EID: 0040093929     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(97)00057-5     Document Type: Article

References (28)

1. Altman, E., Kishore, V., 1996. Defaults and Returns on High Yields Bonds: Analysis through 1995, New York University Salomon Center.
2. Bierwag, G., Kaufman, G., Toevs, A., 1983. Duration: Its development and use in bond portfolio management. Financial Analysts Journal 39 (4), 15-35.
3. Black F., Derman E., Toy W. A one factor model of interest rates and its application to treasury bond options. Financial Analysts Journal. 47(4):1991;52-59.
4. Chance D. Default risk and the duration of zero coupon bonds. Journal of Finance. 45:1990;265-274.
5. Cornell B., Green K. The investment performance of low-grade bond funds. Journal of Finance. 46(1):1991;9-48.
6. Fama E., French K. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 25:1989;23-49.
7. Fooladi I., Roberts G., Skinner F. Duration for bonds with default risk. Journal of Banking and Finance. 21:1997;1-16.
8. Gay G., Kolb R. Removing bias in duration based hedging models: A note. Journal of Futures Markets. 4(2):1984;225-228.
9. Ho T., Lee S. Term structure movements and pricing interest rate contingent claims. Journal of Finance. 46(5):1986;1011-1029.
10. Ilmanen, I., 1992. How well does duration measure interest rate risk? Journal of Fixed Income, pp. 43-51.
11. Ilmanen I., McGuire D., Warga A. The value of duration as a risk measure for corporate debt. Journal of Fixed Income. 4(1):1994;70-76.
12. Jarrow R., Turnbull S. Pricing derivatives on financial securities subject to credit risk. Journal of Finance. 50(1):1995;53-85.
13. Jonkhart M. On the term structure of interest rates and the risk of default. Journal of Banking and Finance. 3(3):1979;253-262.
14. Kolb R., Chiang R. Improving hedging performance using interest rate futures. Financial Management. 10(3):1981;72-79.
15. Landes L., Stoffels J., Seifert J. Duration-based hedge: The case of corporate bonds. Journal of Futures Markets. 5(2):1985;173-182.
16. Leibowitz M., Kogelman S., Bader L. Statistical duration: A spread model of rate sensitivity across fixed-income sectors. Journal of Fixed Income. 3(4):1993;49-60.
17. Leibowitz M., Kogelman S., Bader L. The spread curve and the risk/return decision. Journal of Fixed Income. 5(2):1995;43-50.
18. Leland H., Toft K. Optimal capital structure, endogenous bankruptcy and the term structure of credit spreads. Journal of Finance. 51(3):1996;987-1019.
19. Longstaff F., Schwartz E. A simple approach to valuing risky fixed and floating rate debt. Journal of Finance. 50(3):1995;789-819.
20. Merton R. The theory of rational options pricing. Bell Journal of Economics. 4(1):1973;141-183.
21. Nawalkha S. A contingent claims analysis of the interest rate risk characteristics of corporate liabilities. Journal of Banking and Finance. 20:1996;227-245.
22. Robichek A., Myers S. Conceptual problems in the case of risk adjusted discount rates. Journal of Finance. 21(4):1966;727-730.
23. Sarig O., Warga A. Bond price data and bond market liquidity. Journal of Financial and Quantitative Analysis. 24(3):1989;367-378.
24. Saunders A. Market risk. The Financier: ATCM. 2(5):1995;35-45.
25. Snedecor and Cochran, 1980. Statistical Methods, 7th ed. Iowa State University Press, Ames, Iowa, pp. 190-191.
26. Toevs A., Jacob D. Futures and alternative hedge ratio methodologies. Journal of Portfolio Management. 12(3):1986;60-70.
27. Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics. 5(2):1977;177-188.
28. Warga A. Corporate bond price discrepancies in the dealer and exchange markets. Journal of Fixed Income. 1(3):1991;7-16.