{"repo":"diegodalvarez/FallenAngelRiskPremia","free":true,"listed":false,"github":"https://github.com/diegodalvarez/FallenAngelRiskPremia","clone":"git clone https://github.com/diegodalvarez/FallenAngelRiskPremia.git","description":"Long Short Fallen Angel Premia","language":"Jupyter Notebook","stars":21,"topics":["finance","fixed-income","quant","trading"],"license":null,"category":"trading","readme_excerpt":"Sytematically Fallen Angel Risk Premia The original version of this repo can be found on a prior branch called . For consistency and clarity the repo was reported in this writeup from Robot Wealth here This repo aims to analyze fallen angels as well as examine the fallen angel premia. Fallen angels have a tendency to PDF ---------------- --------------------- Technical Writeup containing methodology & results Todo 1. Transaction Cost & Slippage 2. Seperating all risk-premias and regressing their returns on fixed income benchmarks to find loadings 3. Portfolio Optimization 4. Portfolio Sizing based on expected z-score 5. Signal Processing enhancements 6. Machine learning enhancements Further Reading 1. Jason Thomas, The Credit Risk Premium and Return Predictability in High Yield Bonds here 2. Christian Speck, Corporate Bond Risk Premia here 3. Asvunant & Richardson, The credit risk premia here 4. Ng & Phelps, Capturing Credit spread premium here 5. Altman, Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade here 6. Geisecke, Longstaff, Schaefer, Strebulaev, Corporate Bond Default Risk: A 150-Year Perspective here 7. Houweling, Mentink, and Vorst here 8. Bongaerts, De Jong, and Driessen, An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets here 9. Elton, Gruber, Agrawal, and Mann, Factors Affecting the Valuation of Corporate Bonds here 10. Houweling, On the Performance of Fixed Income Exchange Traded Funds here 11. Haesen and Houw","default_branch":null,"files":null,"tree":[],"storefront":"/r/diegodalvarez","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/diegodalvarez/FallenAngelRiskPremia/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}