doing some final review and realized the yardeni model doesn't specify the the maturity of the a-rated corporate bond to be used. Fed uses 10 year treasuries, safe to assume they want you to use a 10 year corporate for yardeni? If your time horizon is longer than 10 years and they include data for an A rated corporate with a 15-20 year maturity, wouldn't it make more sense to use one of those. IDK........ maybe my brain is just fried.

I looked at the CFAI books just now -- you're right, I can't see right away what maturity should be used. The solved example just said 'Moody's A rated corporate bond yield'.

A CFA Level 3 Discussion About Yardeni

Add A Reply

This topic has 1 reply, 2 voices, and was last updated Oct-179:52 pm by MockTurtle.

Author

Posts
- Johnsoad
  Participant
  - CFA Level 3
  24 Oct 2017 at 10:21 pm
  Up
  0
  ::
  doing some final review and realized the yardeni model doesn’t specify the the maturity of the a-rated corporate bond to be used. Fed uses 10 year treasuries, safe to assume they want you to use a 10 year corporate for yardeni?
  
  If your time horizon is longer than 10 years and they include data for an A rated corporate with a 15-20 year maturity, wouldn’t it make more sense to use one of those. IDK…….. maybe my brain is just fried.
- MockTurtle
  Participant
  25 Oct 2017 at 9:52 pm
  Up
  1
  ::
  I looked at the CFAI books just now — you’re right, I can’t see right away what maturity should be used. The solved example just said ‘Moody’s A rated corporate bond yield’.
Author

Posts

Viewing 1 reply thread

You must be logged in to reply to this topic.