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