The present paper addresses this qu

The present paper addresses this question by deriving a general expression for
duration of bonds that are not default-free based on the Jonkhart (1979) formula-
tion of the term structure of interest rates incorporating default risk. We extend
Jonkhart's framework to encompass risk aversion, assuming that the typical
(marginal) investor is risk averse, and applying certainty equivalent adjustments
based on the Robichek and Myers (1966) assumptions. From the resulting bond
pricing formula, we derive adjusted duration measures using the standard price-
elasticity approach. 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.