For Canadian banks, the CDS market is very illiquid and inactively traded. I want to get an estimate for the spread for a one year CDS on the Bank of Montreal. I was going to estimate this using the CreditGrades model ( http://www.creditrisk.ru/publications/files_attached/cgtechdoc.pdf ).
However, they mention that some algorithms (debt per share) may not hold for financial firms. Can CreditGrades be adapted to work for financial firms? Does it even make sense to get a spread estimate in this way? My goal is to find the one year survival probability for BMO.