This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the same metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in interest rate risk management. This article presents valuation of corporate Bonds on Bombay Stock Exchange (BSE) and empirical test of duration, modified duration and convexity of...

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...