Monday, August 8, 2016

modeling - Credit Rating vs Bond Yield


I am looking for some references on quantifying the dependence between credit rating and bond yield. I have some data (found some Bloomberg indices which give average yield based on credit rating), but it is dense in some regions and sparse or non-existent in others.


I would like to model this somehow, especially in low-B rating area... Could you please recommend me some references and/or some ideas?


Thank you very much.


UPDATE Related Question on interpolating probabilities of default




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