I am looking for some references on quantifying the dependence between credit rating and bond yield. I have some data (found some Bloomberg indices which give average yield based on credit rating), but it is dense in some regions and sparse or non-existent in others.
I would like to model this somehow, especially in low-B rating area... Could you please recommend me some references and/or some ideas?
Thank you very much.
UPDATE Related Question on interpolating probabilities of default
