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by henrywuhu
September 6th, 2017, 12:46 pm
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 1601

Re: Probabilities of Default from Yield Spreads

Thanks. Do you know any paper i could use as a proxy to get this?
by henrywuhu
September 5th, 2017, 9:25 am
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 1601

Re: Probabilities of Default from Yield Spreads

Yes indeed
by henrywuhu
September 4th, 2017, 3:25 pm
Forum: General Forum
Topic: Probabilities of Default from Yield Spreads
Replies: 5
Views: 1601

Probabilities of Default from Yield Spreads

Good Morning. 

Hope you are all doing fine. Is there anyway to get de PD or an approximate PD out of Yield Spreads when measuring against the USD Treasury active curve. Unfortunately there is no CDS spread for the goverment I am trying to get the PD

Best Regards
by henrywuhu
June 22nd, 2017, 10:41 pm
Forum: General Forum
Topic: Expected Loss Calculation
Replies: 7
Views: 2695

Expected Loss Calculation

Hi there. With IFRS9, If I want to use the CDS Spreads in order to get the probability of default. Should I use the bid spread, the ask spread or the mid spread?