Credit Risk and Financial Regulations
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Abstract
Abstract
Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that because spread volatility tends to scale with spread level, duration times spread (DTS) provides a robust first-order measure of credit risk that has held across credit markets, applications, and major stress episodes.
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@article{editor2026Snapshots,
title = {Snapshots of Twenty Years of Duration Times Spread (DTS)},
author = {Derived from original PMR research written by Arik Ben Dor, Lev Dynkin, Jay Hyman, and Simon Polbennikov using AI and an editor},
journal = {Practical Applications},
year = {2026},
doi = {10.3905/snp.2026.jfi.016},
url = {https://doi.org/10.3905/snp.2026.jfi.016}
}FAQ
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