English, Article edition: Refunding efficiency: a generalized approach Andrew J. Kalotay; Deane Yang; Frank J. Fabozzi

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Refunding efficiency: a generalized approach
Author
  • Andrew J. Kalotay
  • Deane Yang
  • Frank J. Fabozzi
Physical Description
  • article
Notes
  • Refunding efficiency, a measure of the optimality of a refunding decision, is widely used in the call exercise decision for agency, corporate and municipal bonds. The original definition of efficiency assumes that the refunding bond is optionless. However, in practice, the refunding bond is often callable. We show that the commonly used method of incorporating the value of the refunding bond's call option into the efficiency calculation can lead to paradoxical results, and then suggest a new definition of refunding efficiency that overcomes this problem.
  • RePEc:taf:apfelt:v:3:y:2007:i:3:p:141-146
Language
  • English
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