DTSSM (Duration Times Spread) for CDS: A New Measure of Spread Sensitivityy
2007
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.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
3
References
4
Citations
NaN
KQI