The relation between default risk measures and holding-period risk measures for bonds is confusing for bond investors. Past studies show that lower-credit-quality bonds exhibit lower holding-period risk. In this research the author develops models to decompose the risk of corporate bonds and...

This research provides improved techniques for analyzing the after-tax risk exposure of taxable institutions holding amortizing instruments such as commercial, real estate, and consumer loans. We derive after-tax duration for amortizing instruments and analyze it for sensitivity to tax rates,...

A growing number of papers have applied option pricing techniques to the valuation of risky debt. This paper deals directly with how a firm's relationship to interest rates affects its debt. A sequential binomial model is used to price the zero-coupon bonds of a firm whose value is related to...

The purpose of our research is to develop an algorithm that optimally schedules municipal debt redemptions. It is our hypothesis that segmented investor demand, the existing term structure, the temporal behavior of municipal project revenues and reinvestment opportunities for interim revenue...

This research investigates the impact of interest rate volatility upon corporate bond yield spreads. We first consider the impact of interest rate volatility upon noncallable bond spreads. Because greater interest rate volatility likely increases the volatility of the firm's debt, we hypothesize...