I have a table of cumulative probabilities of default of industrial bonds, in time and credit rating. It is similar to S&P whitepaper here. Basically, it looks like this (sample numbers):
Years | AAA | AA | A | ... | C 1 | 0.01% | 0.04% | 0.09 | ... ... 30 | 1% | 5% | 8% | ...
This data has gaps both in time and in credit rating. Is there any standard methodology on how to do such interpolations/extrapolations or perhaps a paper/book I can read on the subject?
On a related note, what if the numbers in the table are interest rates for the corresponding bonds - is there a methodology for that?
Thank you very much.
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