1. Double  Diamond Investors
Predicting Credit Spreads
Doug Carson
Joe Franke
Jim Gereghty
Fran Mulvey
Jamie Vogel
Double  Diamond

2. Double  Diamond Introduction Variables Methodology Results

3. Introduction Credit Spreads Yield on Corporate Bond Firm Specific Risk
Systematic Risk
Yield on
US Treasury
Double  Diamond

4. Introduction
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5. Double  Diamond Introduction Variables Methodology Results

6. Variables
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7. Variables
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8. Double  Diamond Introduction Variables Methodology Results

9. Methodology Used 3 Dependent Variables
Datastream Aggregate
Bloomberg AAA, 10-year Index
Bloomberg BBB, 10-year Index
Regressed against independent variables (in-sample)
Double  Diamond

10. 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
Double  Diamond

11. Double  Diamond Introduction Variables Methodology Results

12. Results
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13. Double Diamond
Double  Diamond