PT  - JOURNAL ARTICLE
AU  - Arik Ben Dor
AU  - Simon Polbennikov
AU  - Jeremy Rosten
TI  - DTS<sup>SM</sup> (Duration Times Spread) for CDS
AID  - 10.3905/jfi.2007.683316
DP  - 2007 Mar 31
TA  - The Journal of Fixed Income
PG  - 32--44
VI  - 16
IP  - 4
4099  - https://pm-research.com/content/16/4/32.short
4100  - https://pm-research.com/content/16/4/32.full
AB  - 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