[PDF][PDF] DTSSM (Duration Times Spread)

AB Dor, L Dynkin, J Hyman, P Houweling… - The Journal of …, 2007 - researchgate.net
… We now go one step further, and examine the relation between systematic spread volatility
and the level of spreads.To do this, we would like to partition our dataset by spread level …

ESG ratings and performance of corporate bonds

S Polbennikov, A Desclée, L Dynkin… - The Journal of Fixed …, 2016 - search.proquest.com
The authors study the historical relationship between environmental, social, and governance
(ESG) ratings and corporate bond spread and performance, finding that corporate bonds …

DTS (duration times spread)

A Ben Dor, L Dynkin, J Hyman… - Journal of Portfolio …, 2007 - papers.ssrn.com
The paper proposes a new measure of spread exposure for corporate bonds portfolios based
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …

Empirical duration of corporate bonds and credit market segmentation

M Ambastha, AB Dor, L Dynkin… - The Journal of …, 2010 - search.proquest.com
This article provides a unified and coherent treatment of the relation between the analytical
and empirical duration of corporate bonds based on theoretical and empirical evidence. It …

Style analysis and classification of hedge funds

AB Dor, L Dynkin, T Gould - The Journal of Alternative …, 2006 - search.proquest.com
Hedge funds play an increasingly important role in institutional portfolios as an alternative to
investments in traditional asset classes. Yet, the minimal disclosure requirements hedge …

Sufficient diversification in credit portfolios

L Dynkin, J Hyman… - Journal of Portfolio …, 2002 - search.proquest.com
How much diversification is required in an investment-grade credit portfolio to achieve a
desired level of risk relative to a broad credit benchmark? Two approaches to optimal portfolio …

[BOOK][B] Quantitative credit portfolio management: practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk

AB Dor, L Dynkin, J Hyman, BD Phelps - 2011 - books.google.com
… P1: OTA/XYZ P2: ABC JWBT571-fm JWBT571-Dynkin October 25, 2011 10:20 Printer:
Courier Westford “Lev Dynkin and his coauthors offer insights and practical solutions to critical …

Coupon Effects on Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity

J Hyman, AB Dor, L Dynkin… - The Journal of Fixed …, 2015 - search.proquest.com
The traditional approach for pricing corporate bonds based on discounting their promised
cash flows by a combination of rates and spreads implies that a bond's coupon level by itself …

Constructing peer benchmarks for mutual funds: A style analysis-based approach

AB Dor, V Budinger, L Dynkin… - Journal of Portfolio …, 2008 - search.proquest.com
Mutual fund managers are evaluated primarily on their ability to outperform their peers (rather
than outperform a stated index), although managers have no ex ante information on …

[PDF][PDF] Value of skill in security selection versus asset allocation in credit markets

L Dynkin, J Hyman, W Wu - Journal of Portfolio Management, 2000 - sfu.ca
In the late 1990s, several new groups of investors started adding credit securities to their debt
portfolios. The European Monetary Union became a catalyst for increasing both size and …