Published November 28, 2022
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Hazard Rate Curve Calibration
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Description
The hazard rate curve defines the default probability of an obligor, serving as one of the fundamental components of all credit derivatives models. Within the current GSP credit derivatives modelling framework, the hazard rate curve is calibrated using the market information of the credit default swap (CDS).
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https://ia904705.us.archive.org/21/items/mutual-fund-securitization/MutualFundSecuritization.pdf
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CDSHCurve.pdf
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(168.1 kB)
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