Bootstrapping Credit Curves from CDS Spread Curves

We present a simple procedure to construct credit curves by bootstrapping a hazard rate curve from observed CDS spreads. The hazard rate is assumed constant between subsequent CDS maturities. In order to link survival probabilities to market spreads, we use the JP Morgan model, a common market practice. We also derive approximate closed formulas for "cumulative" or "average" hazard rates and illustrate the procedure with examples from observed credit curves

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Year of publication:	2012
Authors:	Castellacci, Giuseppe
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Kreditderivat \| Credit derivative \| Bootstrap-Verfahren \| Bootstrap approach \| Kreditrisiko \| Credit risk \| Zinsstruktur \| Yield curve \| Theorie \| Theory

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 17, 2008 erstellt
Other identifiers:	10.2139/ssrn.2042177 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013107564