Chance, Don M., "Default Risk and the Duration of Zero Coupon Bonds", Journal of Finance, Vol. 45, No. 1, (March 1990), pp. 265-274.
Abstract: 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 subordinating debt.