TY - JOUR T1 - DTS<sup>SM</sup> (Duration Times Spread) for CDS JF - The Journal of Fixed Income SP - 32 LP - 44 DO - 10.3905/jfi.2007.683316 VL - 16 IS - 4 AU - Arik Ben Dor AU - Simon Polbennikov AU - Jeremy Rosten Y1 - 2007/03/31 UR - https://pm-research.com/content/16/4/32.abstract N2 - 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 ER -