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A good piece of literature on this is Colin-Dufresne et al. (2001), "The Determinants of Credit Spread Changes", Journal of Finance, 56, 2177-2207. I think differencing all variables is a good idea in this case. Not only because of stationarity concerns but also because of unobserved time-invariant issuer-level characteristics. I do not see the case for a ...

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Essentially the market splits this discounting into 2 parts; risk-free discounting and credit risk. Take a market IRS in USD; it will fix on USD Libor (fixed in London). But Libor is a measure of unsecured interbank lending, and a standard IRS contract these days is cash collateralised and daily margined, so Libor isn't really a good fit, so the ...

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Basis point implied volatility is calculated as follows: $\sigma_{bp} = \frac{100F\sigma}{DV01}$ where $F$ is the price of underlying TY future, $\sigma$ is implied volatility, and $DV01$ is a dollar duration of the cheapest to deliver bond (it is published daily by the exchange, or can be calculated manually). The calculation of $DV01$ using modified ...

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