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6 Managing Risk in Sovereign Bond Portfolios: The Impact of Sovereign and Call Risks on Duration

Xie, Yan Alice; Yau, Jot; Lee, Hei Wai - In: International financial markets, (pp. 109-124). 2014

The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for U.S. dollar-denominated...

Persistent link: https://www.econbiz.de/10015368579