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Adapting the Macaulay duration for defaultable and option-embedded bonds

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dc.contributor.author Styger, Paul
dc.contributor.author Van Vuuren, Gary
dc.date.accessioned 2009-12-17T09:46:48Z
dc.date.available 2009-12-17T09:46:48Z
dc.date.issued 2008
dc.identifier.citation STYGER, P. & VAN VUUREN, G. 2008. Adapting the Macaulay duration for defaultable and option-embedded bonds. South African journal of economic and management sciences, 11(2):172-189, Jun. [http://www.sajems.org/index.php/sajems/index] en
dc.identifier.issn 1015-8812
dc.identifier.issn 2222-3436 (Online)
dc.identifier.uri http://hdl.handle.net/10394/2676
dc.description.abstract Most contemporary bonds have embedded options and all face the possibility of default. Both features introduce risk (the former market risk and the latter credit risk) by altering the quantity and timing of the promised cash flows. The Macaulay duration, although a popular risk tool, is increasingly unable to cope in this complex financial environment. While the Macaulay duration has undergone modifications before, a new theoretical framework is now introduced which augments its functionality while retaining its tractability. The approach – though still unable to isolate the effects of the two features – yields consistent results which agree well with empirical data.
dc.description.uri http://www.sajems.org/index.php/sajems/article/view/307/118
dc.description.uri http://search.sabinet.co.za/WebZ/Authorize?sessionid=0&next=ej/ej_content_ecoman.html&bad=error/authofail.html
dc.language.iso en en
dc.publisher Faculty of Economic and Management Sciences, University of Pretoria. en
dc.title Adapting the Macaulay duration for defaultable and option-embedded bonds en
dc.type Article en


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