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Open Access

Editor’s Letter

Stanley J. Kon
The Journal of Fixed Income Summer 2011, 21 (1) 1; DOI: https://doi.org/10.3905/jfi.2011.21.1.001
Stanley J. Kon
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The Great Recession has generated significant interest in distressed debt. In this issue of The Journal of Fixed Income, we begin with an article by Jacobs and Karagozoglu that provides empirical evidence on the loss given default experienced by major defaults from 1985–2008. They find that measures of distressed debt prices and cumulative equity returns at the time of default (price discovery) have predictive power for the ultimate loss given default. In their article, Wang compares the trading price of distressed debt by seniority with their ultimate recovery. The findings indicate positive gains for senior bonds and losses for junior debt. Next, Bhanot and Guo investigate data points where the corporate bond trade price indicates a negative spread. After adjusting for bid–ask spreads and liquidity, they demonstrate that there are no violations of arbitrage.

Asset–liability managers for pension plans are focused on extending the duration of their assets to match their long-duration liabilities. There are various ways to provide this extension, but these alternatives have different effects on performance. Ramkumar and Mesrour increase portfolio duration and returns by levering short-duration bonds and exploiting the term premium at the front end of the yield curve.

In the next article, Shiu, Luong, and Rozov provide a model for the pricing of commercial mortgage-backed security tranches with the decomposition of prepayment and credit risks. They also analyze the implications for various trading strategies among the tranches.

Finally, Lo Conte specifies the U.S. long-term rate and the yield on high-grade corporate bonds as exogenous risk factors in order to explain European yield differentials.

We hope you enjoy this issue of The Journal of Fixed Income. Your continued support of the Journal is greatly appreciated.

Stanley J. Kon

Editor

  • © 2011 Pageant Media Ltd

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The Journal of Fixed Income: 21 (1)
The Journal of Fixed Income
Vol. 21, Issue 1
Summer 2011
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Editor’s Letter
The Journal of Fixed Income Jun 2011, 21 (1) 1; DOI: 10.3905/jfi.2011.21.1.001

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