Does approximating duration estimat

Does approximating duration estimates by ignoring default risk lead to error in the two
major duration applications - measuring interest - rate price elasticity and immunization? We derive a general expression for duration in the presence of default risk based on Jonkhart's term structure model (On the term structure of interest rates and the risk of default, Journal of Banking and Finance 3, 253-262, 1979) extended to encompass risk aversion. The model includes terms for default probabilities and default payoffs in each period as well as for a delay between the occurrence of default and the final default payoff. Our main conclusion is that practical duration applications involving bonds with default risk must employ duration measures adjusted for default risk.

Results (English) 3:

并通过忽略的违约风险，导致两个主要应用
时间测量的兴趣利率的价格弹性和免疫误差逼近的时间估计？我们得出的一般表达式时的违约风险下基于jonkhart的期限结构模型（对利率期限结构与违约风险，银行与金融学报3，253-262，1979）扩展到包括风险规避。该模型包括在每一个时期的违约概率和违约的收益以及违约情况的发生和最终的违约收益之间的延迟。我们的主要结论是，实际时间应用涉及违约风险债券必须使用时间调整违约风险的措施。