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Church
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Posts: 175
Joined: September 4th, 2007, 10:27 am

Smoothing/Interpolation of credit spread curve with missing data

June 28th, 2016, 10:33 am

Hello,For our risk management system we need full credit spread curves for every combination of asset category and rating.However, the actual market data shows a lot of missing data in comparison of what we need, for example missing terms, missing ratings (BB and lower), etc.What is a sensible way to cope with this? Are there usefull methods available in literature? Thanks
 
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Jhammer
Posts: 37
Joined: February 24th, 2014, 8:05 pm

Smoothing/Interpolation of credit spread curve with missing data

June 30th, 2016, 6:00 pm

Missing terms --> interpolationMissing rating --> proxy or company's debtetc?
 
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bearish
Posts: 6008
Joined: February 3rd, 2011, 2:19 pm

Smoothing/Interpolation of credit spread curve with missing data

June 30th, 2016, 9:10 pm

The underlying concept that there is a mapping from credit rating to spread is of course flawed. That's probably neither here nor there as far as your personal task is concerned, but perhaps worth keeping in the back of your mind.
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