Default Risk and the Duration of Zero Coupon Bonds
用或有债权方法分析违约风险下零息债券的久期，发现其久期小于到期期限且不能用于免疫，并推广到次级债。
This paper applies a contingent claims approach to examine the duration of a zero coupon bond subject to default risk. One replicating portfolio for a default-prone zero coupon bond contains a long position in the default-free asset plus a short position in a put option on the underlying assets. The duration of the bond is shown to be a weighted combination of the duration of the default-free bond and the put option. The duration is less than maturity and is not an immunizing duration. The technique is then extended to subordinated debt.