RT Journal Article
SR Electronic
T1 Empirical Duration of Corporate Bonds and Credit Market Segmentation
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 5
OP 27
DO 10.3905/jfi.2010.20.1.005
VO 20
IS 1
A1 Madhur Ambastha
A1 Arik Ben Dor
A1 Lev Dynkin
A1 Jay Hyman
A1 Vadim Konstantinovsky
YR 2010
UL https://pm-research.com/content/20/1/5.abstract
AB This article provides a unified and coherent treatment of the relation between the analytical and empirical duration of corporate bonds based on theoretical and empirical evidence. It examines several possible explanations for the large decline in interest rate sensitivity when crossing from investment-grade to high-yield territory. We discuss several practical applications of using empirical duration to hedge the interest rate exposure in credit portfolios and express views on the direction of interest rates.TOPICS: Fixed-income portfolio management, financial crises and financial market history, information providers/credit ratings, statistical methods