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1 January 1989 Research Foundation

Durations of Nondefault-Free Securities

  1. G.O. Bierwag
  2. George G. Kaufman
Durations of Nondefault-Free Securities View the full book (PDF)

Biases can be introduced into the computation of duration of nondefault-free securities when the time pattern of losses from default is not explicitly taken into account. This monograph shows that measures of duration for fixed-income securities should account for the possibility that the promised cash flows will change in the event of an unexpected default by the issuer.

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