Default Premium

classic Classic list List threaded Threaded
3 messages Options
Reply | Threaded
Open this post in threaded view
|

Default Premium

Rmetrics mailing list
Dear All,I am not sure this question qualifies for this group. But I am using R for handling this project therefore posting. Sorry if I should not have.In a paper by Christopher, Ferson and Schadt, 1998 (Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance), they compute default premium by taking yield spread of AAA and BAA bonds. I am trying to do a similar study but have only AAA bonds and Government Securities yield spreads available. No data on BAA available. Question: Can Spread (AAA-Government Bonds) be used to measure default premium in place of Spread (BAA-AAA) ?I will be immensely obliged for help. Regards,Pankaj K Agarwal
Researcher in Mutual FundsIndia+91-98397-11444

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Default Premium

Frank-2
Moody's Seasoned Baa Corporate Bond Yield©

Available from FRED:

https://research.stlouisfed.org/fred2/series/DBAA

Frank
Chicago, IL

-----Original Message-----
From: R-SIG-Finance [mailto:[hidden email]] On Behalf
Of Pankaj K Agarwal via R-SIG-Finance
Sent: Thursday, April 28, 2016 11:30 AM
To: [hidden email]
Subject: [R-SIG-Finance] Default Premium

Dear All,I am not sure this question qualifies for this group. But I am
using R for handling this project therefore posting. Sorry if I should not
have.In a paper by Christopher, Ferson and Schadt, 1998 (Conditioning
Manager Alphas on Economic Information: Another Look at the Persistence of
Performance), they compute default premium by taking yield spread of AAA and
BAA bonds. I am trying to do a similar study but have only AAA bonds and
Government Securities yield spreads available. No data on BAA
available. Question: Can Spread (AAA-Government Bonds) be used to measure
default premium in place of Spread (BAA-AAA) ?I will be immensely obliged
for help. Regards,Pankaj K Agarwal
Researcher in Mutual FundsIndia+91-98397-11444

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Default Premium

Rmetrics mailing list
Dear FrankThanks. But i forgot to mention i am looking for Indian Bond market data for which BAA yields are not available. Anyone can help? Regards,Pankaj K Agarwal
+91-98397-11444http://in.linkedin.com/in/pankajkagarwal/

    On Friday, 29 April 2016 5:16 AM, Frank <[hidden email]> wrote:
 
 

 Moody's Seasoned Baa Corporate Bond Yield©

Available from FRED:

https://research.stlouisfed.org/fred2/series/DBAA

Frank
Chicago, IL

-----Original Message-----
From: R-SIG-Finance [mailto:[hidden email]] On Behalf
Of Pankaj K Agarwal via R-SIG-Finance
Sent: Thursday, April 28, 2016 11:30 AM
To: [hidden email]
Subject: [R-SIG-Finance] Default Premium

Dear All,I am not sure this question qualifies for this group. But I am
using R for handling this project therefore posting. Sorry if I should not
have.In a paper by Christopher, Ferson and Schadt, 1998 (Conditioning
Manager Alphas on Economic Information: Another Look at the Persistence of
Performance), they compute default premium by taking yield spread of AAA and
BAA bonds. I am trying to do a similar study but have only AAA bonds and
Government Securities yield spreads available. No data on BAA
available. Question: Can Spread (AAA-Government Bonds) be used to measure
default premium in place of Spread (BAA-AAA) ?I will be immensely obliged
for help. Regards,Pankaj K Agarwal
Researcher in Mutual FundsIndia+91-98397-11444

    [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.



 
        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.