@article {Dastidar70, author = {Siddhartha G. Dastidar and Bruce D. Phelps}, title = {Credit Spread Decomposition: Decomposing Bond-Level Credit OAS into Default and Liquidity Components }, volume = {37}, number = {3}, pages = {70--84}, year = {2011}, doi = {10.3905/jpm.2011.37.3.070}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Portfolio managers can use spread decomposition to help determine if a bond{\textquoteright}s spread moves mainly because of liquidity or because of default-related reasons.The authors explain how this information can help lead to better decisions regarding portfolio construction, positioning, and hedging. In addition, spread decomposition can possibly help identify undervalued bonds and forecast credit spread changes.TOPICS: Information providers/credit ratings, analysis of individual factors/risk premia, CLOs, CDOs, and other structured credit}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/3/70}, eprint = {https://jpm.pm-research.com/content/37/3/70.full.pdf}, journal = {The Journal of Portfolio Management} }