Why is the duration-times-spread approach superior to the spread duration approach in estimating exposure to changes in

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Why is the duration-times-spread approach superior to the spread duration approach in estimating exposure to changes in corporate credit spreads?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:43 AM

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Why is the duration-times-spread approach superior to the spread duration approach in estimating exposure to changes in

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The durationtimesspread approach or DTSapproach involves taking the product of the spread duration and the credit spread The contribution of a bond or bond sector to a portfolio referred to as contrib...View the full answer

Bond Markets Analysis and Strategies

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