Bootstrap Hazard rate term structure from CDS quotes

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georgeb
Posts: 1
Joined: Tue Nov 25, 2014 4:34 pm

Bootstrap Hazard rate term structure from CDS quotes

Postby georgeb » Tue Nov 25, 2014 4:46 pm

HI All,
I am new member to this group. Looking for the below information

I need some information regarding boot strapping of hazard rate term structure from CDS spreads. I have the CDS Quotes available for 1,3,5,7,10 years and need to understand how to bootstrap the hazard rate.
Its done in one of my projects but its not transparent as the logic sits within QA calls. We are given with CDS Quotes, Recovery Rate .
Can you please advise on this or can anyone any link related to this. Do any have an excel on this Bootstrap Hazard rate term structure from CDS Quotes.

Thanks in advance

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