Interesting. My worry with credit-spread metrics is no-one cared about them pre-2008, so their performance is all in-sample basically. People always add new explanatory variables that explain the last crisis. However I am not an expert on this.
Interesting. My worry with credit-spread metrics is no-one cared about them pre-2008, so their performance is all in-sample basically. People always add new explanatory variables that explain the last crisis. However I am not an expert on this.