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I have a beginner question in credit quantitative modelling. I would like to know how we can derive forward credit spread curve, i.e the counterparty of forward yield curves. Indeed, for deriving a forward yield curve we derive the zero-coupon curve first and then apply the right formula given a predefined compounding. I am pretty sure that the same cannot be applied to credit spread as for the yield curve the derivation is based on a no-arbitrage argument. \

Could someone point me in the right direction or a research paper analysing this subject. The important thing is that the only information I have at hand is the "spot" credit spreads as well as forward transition matrices (i.e forecasted transition matrices for a 30 years horizon).

Thanks a lot,

VL

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