RT Journal Article
SR Electronic
T1 Credit Spread Decomposition: Decomposing
Bond-Level Credit OAS into Default and
Liquidity Components
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 70
OP 84
DO 10.3905/jpm.2011.37.3.070
VO 37
IS 3
A1 Siddhartha G. Dastidar
A1 Bruce D. Phelps
YR 2011
UL https://pm-research.com/content/37/3/70.abstract
AB Portfolio managers can use spread decomposition to help determine if a bond’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