Credit Spread Decomposition with HAC Inference and Variance Attribution
Credit Spread Decomposition with HAC Inference and Variance Attribution: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are a quantitative credit analyst. Your task is to decompose the BAA-Treasury corporate bond spread into default risk, liquidity risk, and…
The task
You are a quantitative credit analyst. Your task is to decompose the BAA-Treasury corporate bond spread into default risk, liquidity risk, and inflation risk components using a rolling multivariate OLS framework. For each rolling window you must also compute **Newey-West heteroscedasticity and autocorrelation…
Part of codeslord/skilltrainbench-public.