8. Arik Ben Dor, Lev Dynkin, and Jay Hyman, “A Theoretical Basis for DTS (Duration Times Spread),” Lehman Brothers (December 2007). Robert C. Merton, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance 29 (May 1974).

9. Arik Ben Dor, Simon Polbennikov and Jeremy Rosten, “DTS (Duration Times Spread) for CDS: A New Measure of Spread Sensitivity,” Journal of Fixed Income, 16 (Spring 2007), pp. 32–44.

10. Ben Dor, Polbennikov, and Rosten (2007) used maximum likelihood to estimate the relation between spread volatility and spread level of individual U.S. and European default swaps, based on weekly data over the period July 2004 and May 2006.

11. See Arik Ben Dor, Lev Dynkin and Jay Hyman, “DTS—Further Insights and Applicability,” Lehman Brothers (August 2005). Arik Ben Dor, Albert Desclée, Jay Hyman and Simon Polbennikov, “Managing European Sovereign Spread Risk,” Barclays Capital (August 2010). Madhur Ambastha, Arik Ben Dor and Lev Dynkin, “DTS (Duration Times Spread) for Emerging Market Securities—A New Measure of Spread Exposure,” Lehman Brothers (February 2007).

..................Content has been hidden....................

You can't read the all page of ebook, please click here login for view all page.
Reset
44.211.239.181