Duration, Default Risk and Term Structure of Interest Rates

Duration, Default Risk and Term Structure of Interest Rates

We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default-free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that...

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書目詳細資料
Main Authors:	WU, Chunchi, Xie, A., Liu, Sheen
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2005
主題:	Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/786
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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