PT  - JOURNAL ARTICLE
AU  - Sana Horchani
TI  - The Effect of Default and Conversion Options on Bond Duration
AID  - 10.3905/jfi.2016.25.3.026
DP  - 2015 Dec 31
TA  - The Journal of Fixed Income
PG  - 26--35
VI  - 25
IP  - 3
4099  - https://pm-research.com/content/25/3/26.short
4100  - https://pm-research.com/content/25/3/26.full
AB  - This article examines the effect of default and conversion option on bond duration. Empirical evidence shows that default risk decreases bond duration, excluding the case of investment-grade bonds with a short-term maturity. Furthermore, controlling for default risk effect, the conversion option decreases bond duration for equity-like and mixed bonds. Finally, the joint effect of default and conversion risk decreases bond duration for all convertible bonds.TOPICS: Fixed income and structured finance, options