November 26th, 2014, 12:43 pm
Hi All,I am new member to this group .Looking for the below informationI need some information regarding boot strapping of hazard rate term structure from CDS spreads. I have the CDS Quotes available for 1,3,5,7,10 years and need to understand how to bootstrap the hazard rate. Its done in one of my projects but its not transparent as the logic sits within QA calls. We are given with CDS Quotes, Recovery Rate .Has any one got some excel on the same.Thanks in advance