ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
A Simple Nonparametric Approach to Pricing Credit Default Swaps
2
3
Santiago Forte
4
August 17, 2025
5
6
Internet Appendix 1
7
8
This appendix contains the Excel file to estimate the Complete Term Structure of CDS spreads (CTSCDS) and associated
9
Credit Risk Discount Factors (CRDF) from the Observed Term Structure of CDS spreads (OTSCDS) using a linear interpolation.
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100