Allen,Thank you so much for your answer.

Does anybody know how I can compute stationary (long-term) variance of EGARCH process.

Hi! Does anyone have Lehman Brothers CDS data for the period Jan 2007-Sept. 2008? Thank you?

<t>Hi,I am calibrating default probabilities using Hull-White CDS model and in their "The valuation of credit default swap options" paper as an alternative way for finding default probabilities they suggest using continuous piecewise linear function for default probabilities. The function is as foll...

Hi,Can you tell me how you used Hull-White CDS model to back out hazard rates. I also try to use HW model to extract default probabilities with reverse engineering the formula and need some help in calculating [u(t)+e(t)] part of the formula. Thanks in advance.

I have trouble with the calculation of present value of payments if default occurs [u(t)+e(t)]. Can anyone help me calculate u(t) and e(t) in the HW formula when payments are made quarterly?

<t>Hi,I am trying to extract default probabilities from HW CDS model (Valuing credit default swaps I: no counterparty default risk and The valuation of credit default swap options). HW found default prob. using CDS spreads in the second paper but it is not clear which steps they used and how they us...