Day Trading & Forex Forum

jcmh

Now, it's easy to recreate the Euribor curve.
It's also easy to recreate a zero risk curve using government bonds. E.g bund, bobl
The difference between the two curves is the implied risk of default and non-delivery (I presume - please correct if i'm wrong)
This risk should vary depending upon time to delivery/funding issues etc.
Now is there an easy way to pull this 'risk' curve rather than plotting the two yields and subtracting (As this is a bit messy) Is there a bloomberg or reuters page that does this?

James

GammaJammer

dunno, but do know that plotting the difference between the two shouldn't be that tough in bberg. although I am often a critic, that's just the kind of thing it's pretty good for. Another function I like is the 'HS' function, for analysing two time series together (pulling out correlations etc)

__________________
"That which doesn't kill me makes me stronger"

andanotherthing

EUSS5 <index> <gip> <go> on bberg will give you the composite live quote for the 5y swap spread which you can use as a very effective proxy. EUSS2, EUSS3 etc etc but 5y is a good benchmark.

jcmh

Cheers for the help. I'll give these a go and see what comes out in the wash