In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …

Does approximating duration estimates by ignoring default risk lead to error in the two major
duration applications—measuring interest—rate price elasticity and immunization? We …

This paper computes the effective duration of callable corporate bonds, using a contingent-
claims model that incorporates both default risk and call risk. The model generates empirical …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

This paper presents an analytical model of corporate discount bond prices. The critical
assumption of the model is that the dynamics of the firm's debt ratio revert toward a long-term …

Structural models for pricing credit risk can be used to forecast the spread on risky bonds
and for hedging credit risk. This article examines the forecasting accuracy of the Black …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

This paper provides a simple and practical approach to hedging bonds that are subject to
credit risk. Three new hedge ratios are derived and tested and the roles of basis risk and …

Duration and convexity are important measures in fixed-income portfolio management. We
have derived closed-form expressions for duration and convexity of zero-coupon …

We examine Treasury bond and stock index futures, the swap curve and two types of
hypothetical corporate bond assets as alternative hedging instruments for portfolios of …