PT  - JOURNAL ARTICLE
AU  - Madhur Ambastha
AU  - Arik Ben Dor
AU  - Lev Dynkin
AU  - Jay Hyman
AU  - Vadim Konstantinovsky
TI  - Empirical Duration of Corporate Bonds and Credit Market Segmentation
AID  - 10.3905/jfi.2010.20.1.005
DP  - 2010 Jun 30
TA  - The Journal of Fixed Income
PG  - 5--27
VI  - 20
IP  - 1
4099  - https://pm-research.com/content/20/1/5.short
4100  - https://pm-research.com/content/20/1/5.full
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