[R-SIG-Finance] Default Premium

Pankaj K Agarwal pankajsbi at yahoo.com
Thu Apr 28 18:30:15 CEST 2016

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

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