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

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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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 full answer

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