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Article

Empirical Duration of Corporate Bonds and Credit Market Segmentation

Madhur Ambastha, Arik Ben Dor, Lev Dynkin, Jay Hyman and Vadim Konstantinovsky
The Journal of Fixed Income Summer 2010, 20 (1) 5-27; DOI: https://doi.org/10.3905/jfi.2010.20.1.005
Madhur Ambastha
is a vice president at Barclays Capital in New York, NY.
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  • For correspondence: madhur.ambastha@barcap.com
Arik Ben Dor
is a director at Barclays Capital in New York, NY.
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  • For correspondence: arik.bendor@barcap.com
Lev Dynkin
is a managing director and head of the Quantitative Strategies Group at Barclays Capital in New York, NY.
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  • For correspondence: lev.dynkin@barcap.com
Jay Hyman
is a managing director at Barclays Capital in Tel Aviv, Israel.
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  • For correspondence: jay.hyman@barcap.com
Vadim Konstantinovsky
is a director at Barclays Capital in New York, NY.
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  • For correspondence: vadim.konstantinovsky@barcap.com
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Abstract

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.

  • Copyright © 2010 Barclays Capital Inc. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Fixed Income
Vol. 20, Issue 1
Summer 2010
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Empirical Duration of Corporate Bonds and Credit Market Segmentation
Madhur Ambastha, Arik Ben Dor, Lev Dynkin, Jay Hyman, Vadim Konstantinovsky
The Journal of Fixed Income Jun 2010, 20 (1) 5-27; DOI: 10.3905/jfi.2010.20.1.005

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Empirical Duration of Corporate Bonds and Credit Market Segmentation
Madhur Ambastha, Arik Ben Dor, Lev Dynkin, Jay Hyman, Vadim Konstantinovsky
The Journal of Fixed Income Jun 2010, 20 (1) 5-27; DOI: 10.3905/jfi.2010.20.1.005
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  • Article
    • Abstract
    • EMPIRICAL DURATION: THEORY AND EVIDENCE
    • THE RELATION BETWEEN ANALYTICAL AND EMPIRICAL DURATION
    • ESTIMATION METHODOLOGY AND EMPIRICAL ANALYSIS
    • SEGMENTATION IN CREDIT MARKETS
    • POTENTIAL STALE PRICING AND ITS EFFECT ON HEDGE RATIOS
    • HEDGE RATIOS FOLLOWING RATING CHANGES: AN EVENT-STUDY APPROACH
    • SUMMARY AND IMPLICATIONS FOR PORTFOLIO MANAGEMENT
    • INDEX REPLICATION WITH DERIVATIVES
    • ASSET-LIABILITY MANAGEMENT FOR PENSION FUNDS
    • HEDGING AN ACTIVE CREDIT EXPOSURE
    • CORE-PLUS INVESTMENT IN HIGH-YIELD BONDS
    • ENDNOTES
    • REFERENCES
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