I think the answer is the same as it was back then - it depends. Obviously, HY credit analysts will expend a lot of energy on trying to gauge the default probability and recovery potential, even if they don’t necessarily phrase it as such. Traders tend to focus a lot more on the OAS (however define...

I am looking for answers to the same question. Do people typically do default modelling when value the high yield bond? Or a single OAS value would do its work?

As we all know how to calculate KRD and effective duration: shock your curve (could be spot/forward/par) and get the price difference.  However, there seems to be a problem with the method. If my curve was constructed from market instruments and now I would like to shock arbitrary month key point, I...

The market convention is indeed to price  the index of flat term-structure curve equal to the quoted spread for that maturity.   This doesn't cause any arbitrage as the Index CDS is fixed coupon and always settled upfront (i.e. the PV of paying the standard coupon and receive expected losses).   Se...

Have you figured out this? I feel using flat hazard curve, a.k.a convention spread would be good enough. 

What if I want to build a curve to price swaps on Libor 1w, Libor 2m or Libor 2y. According to multiple curve framework, I'd better build those curves by having 1w/3m basis swap, 2m/3m basis swap and 2y/3m basis swap. But as we know, those contracts are not traded at all. In this sense, how should I...

Many thanks Martinghoul. I am trying to avoid using fixing to build my curve since it may bring in volatility of my real time curve. a.k.a before and after fixing was published.
It makes perfect sense of having this rate cut expectation under FRA quotes. 

So, to be sure, the rates you're showing above are par rates for 6m FRAs, starting in 1m, 2m,..,18m?  In other words, does 1m, 2m..., 18m denote the term of the FRA or the fwd start? Yeah. they are basically representing 1*7, 2*8, 3*9, etc.  Ah, in which case, aren't you forgetting smth?  Remember ...

So, to be sure, the rates you're showing above are par rates for 6m FRAs, starting in 1m, 2m,..,18m?  In other words, does 1m, 2m..., 18m denote the term of the FRA or the fwd start?

Yeah. they are basically representing 1*7, 2*8, 3*9, etc. 

Now the BREXIT is voted and we saw the swap curve flatten out and the 2y swap rate is consistently higher than 1m to 18m Libor 6m FRA rate. What's the story behind? Am I safe to make money by entering into FRA and a 2y receiver swap (receive swap rate)? I am not sure exactly what you're saying.  Wh...

Now the BREXIT is voted and we saw the swap curve flatten out and the 2y swap rate is consistently higher than 1m to 18m Libor 6m FRA rate. What's the story behind? Am I safe to make money by entering into FRA and a 2y receiver swap (receive swap rate)?

<t>Thank you so much for the explanation Martingalehoul!Yeah, I am observing sometimes the 1,2,3 week OIS rate is higher than 1 month OIS rate. For example, on 5/3, the mid-quote of 1,2,3 week OIS rate is 0.365% but the 1 month OIS was quoted as 0.362%. I guess this is due to special reasons like yo...

<t>Hi Guys, can you help me to understand why sometimes I observe in the OIS market (both Euro and US), the 3 week quote would be higher than 1m quote? Does this mean we do expect the overnight rate goes lower during the 4th week? Or it's just a supply/demand issue regarding to the huge liquidity di...

<t>Can I bring this old topic back to the top for a second? I tried the spreadsheet attached on my problem. So basically, If I get spread input very large, i.e. Tenor (Years) CDS spreads (in BPS)1 20002 25003 28004 37005 4600I cannot construct the credit curve. Basically, for the 4th and 5th knots, ...

<t>Thank you very much, Bearish! I like your idea of adding a spread (deterministic or stochastic) to the single tree. It will resolve the mapping issue. Also, it basically use single state to represent multiple attributes as you mentioned. That makes perfect sense. I am a little bit confused about ...