[R-SIG-Finance] Default Premium

Pankaj K Agarwal pankajsbi at yahoo.com
Fri Apr 29 07:40:16 CEST 2016

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

    On Friday, 29 April 2016 5:16 AM, Frank <frankm60606 at gmail.com> wrote:

 Moody's Seasoned Baa Corporate Bond Yield©

Available from FRED:


Chicago, IL

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Pankaj K Agarwal via R-SIG-Finance
Sent: Thursday, April 28, 2016 11:30 AM
To: r-sig-finance at r-project.org
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

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