I am currently in a project trying to quantify default risk premia for US Corporate Bonds. The data I have consists of bond prices, and other information (i.e. YTM, OAS, Effective Duration, Maturity etc.).The data includes bond prices with optionality and non-optionality. Now, I want to extract risk neutral default probabilities from the bonds at every point in time, but since the given prices incorporates possible optionalities , trying to quantify default risk premia from the extracted RN default probabilities (and comparing against real world DPs from another source) may not give me a true measure of the compensation for expected loss.
Now, the data also has information on option adjusted yields, or the yield of a bullet bond after stripping out the optionality. What I am thinking is to reprice the bonds using these option adjusted yields and then use those prices to extract risk neutral default probabilities.
My question is, will this be a prudent approach to take?