@article {Dor32, author = {Arik Ben Dor and Simon Polbennikov and Jeremy Rosten}, title = {DTSSM (Duration Times Spread) for CDS}, volume = {16}, number = {4}, pages = {32--44}, year = {2007}, doi = {10.3905/jfi.2007.683316}, publisher = {Institutional Investor Journals Umbrella}, abstract = {We extend the study of Ben Dor, Dynkin, Hyman, Houweling, Leeuwen and Penninga [2007] on the behaviour of corporate bond spreads to the realm of credit default swaps using a new estimation technique. The quasi-maximum likelihood approach we employ can accommodate the stochastic nature of the relation between spread volatility and spread level. Consistent with the results for corporate bonds, we find support for a linear relationship between spread volatility and spread level with some evidence of non-linear effects.TOPICS: Fixed income and structured finance, statistical methods, credit default swaps}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/16/4/32}, eprint = {https://jfi.pm-research.com/content/16/4/32.full.pdf}, journal = {The Journal of Fixed Income} }