Double Diamond Investors

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Double ?? Diamond Investors

• Predicting Credit Spreads

Doug Carson Joe Franke Jim Gereghty Fran
Mulvey Jamie Vogel
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Double ?? Diamond

• Introduction
• Variables
• Methodology
• Results

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Introduction

• Credit Spreads

Yield on Corporate Bond
Firm Specific Risk
Systematic Risk
Yield on US Treasury
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Introduction
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Double ?? Diamond

• Introduction
• Variables
• Methodology
• Results

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Variables
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Variables
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Double ?? Diamond

• Introduction
• Variables
• Methodology
• Results

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Methodology

• Used 3 Dependent Variables
• Datastream Aggregate
• Bloomberg AAA, 10-year Index
• Bloomberg BBB, 10-year Index
• Regressed against independent variables
  (in-sample)

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Methodology

• Found multi-factor model for each credit spread
• Datastream Aggregate 7-factor
• Bloomberg AAA, 10-year 5-factor
• Bloomberg BBB, 10-year 7-factor
• Used multi-factor model from the in-sample
  periods to forecast the out-of-sample periods for
  each variable

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Double ?? Diamond

• Introduction
• Variables
• Methodology
• Results

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Results
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Double ??Diamond