Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

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.

share|improve this question

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.