Adapting the Macaulay duration for defaultable and option-embedded bonds
Most contemporary bonds have embedded options and all face the possibility of default. Both features introduce risk (the former market risk and the latter credit risk) by altering the quantity and timing of the promised cash flows. The Macaulay duration, although a popular risk tool, is increasingly...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2011-09-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/307 |