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henrywuhu
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Joined: May 24th, 2015, 9:57 pm

Probabilities of Default from Yield Spreads

September 4th, 2017, 3:25 pm

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
Henry Wu Hu
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: Probabilities of Default from Yield Spreads

September 5th, 2017, 9:07 am

Are these USD-denominated govt bonds?
 
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henrywuhu
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Joined: May 24th, 2015, 9:57 pm

Re: Probabilities of Default from Yield Spreads

September 5th, 2017, 9:25 am

Yes indeed
Henry Wu Hu
 
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Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

Re: Probabilities of Default from Yield Spreads

September 6th, 2017, 9:23 am

It should be possible, IMHO, with a variety of simplifying assumptions...
 
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henrywuhu
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Posts: 4
Joined: May 24th, 2015, 9:57 pm

Re: Probabilities of Default from Yield Spreads

September 6th, 2017, 12:46 pm

Thanks. Do you know any paper i could use as a proxy to get this?
Henry Wu Hu
 
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Martinghoul
Posts: 188
Joined: July 18th, 2006, 5:49 am

Re: Probabilities of Default from Yield Spreads

September 6th, 2017, 1:55 pm

Let me try to find smth for you...