Tax-Adjusted Duration for Amortizing Debt Instruments
推导了摊销贷款（如商业、房地产和消费贷款）的税后久期，分析其对税率、票息和期限的敏感性，发现摊销工具的久期常随票息增加而增加，与债券不同。
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, coupon, and maturity. Taxable investors who hedge and ignore the effects of taxes on amortizing instruments will underestimate differences in durations on bonds versus amortizing instruments of equal maturities; bond durations increase much faster as tax rates increase. One unexpected result shows that, unlike bond duration, amor? tizing instrument duration often increases with coupon rate, and sometimes is independent of coupon rate.