Kurbangaleev, Marat; Lapshin, Victor; Smirnov, Sergey N. - National Research University Higher School of Economics - 2015
In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with...