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I have not understood which "zerorati" I must use for the bootstrap of the PD from the curve of the CDS spreads. Can you help me please? I consulted O'Kane (2008) and Brigo and Mercurio (2006), but I'm not sure of the choice.

https://it.mathworks.com/help/finance/bootstrapping-a-default-probability-curve.html

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This is, indeed a delicate matter. You might want to use zeros bootstrapped from the relevant OIS curve used for collateral remuneration. So you might want to use EONIA (€STR) swaps for EUR, SONIA for GBP and so on.

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  • $\begingroup$ Thanks a lot for your answer. If I have understood, when I have at the time "t" the CDS spreads quotation for all tenors (1y,2y,...,30y), I have to consider the "zero retes" at the time "t" a curve of the (for example) of EONIA Swaps (because my analysis starts ex-ante October 2019) for the same tenors (1y,2y,...,30y)? Do these exist? $\endgroup$ – OrmaiDicoA Mar 28 at 10:52
  • $\begingroup$ On your observation date, you collect CDS and OIS swap rates. From those OIS quotes you bootstrap zero rates, which you then use in your CDS formula. $\endgroup$ – Kermittfrog Mar 28 at 13:39

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