Snapshots of Twenty Years of Duration Times Spread (DTS)

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.