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
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?