Missing Data on Credit Curve

[jcchien]

Hi all,
I'm doing risk modeling for Life Insurance Corp.
Now, I want to build Credit risk system.
Before system build, I need to prepare data source.
Many credit curve from Reuters, bloomberg, or third-party provider have miss some data in time stamp.
In practice, how to deal with this problem ?
Take for example, US financial Industry Credit Spread.(Just a example)
It is lack in data point in 10yr, 15yr....
Available data is 1yr, 3yr, 5yr, and 7yr.
thanks if anyone can guide me the solution.

 

[Ken Abbott]

There are many approaches to missing data. For the odd point, interpolation is fine. Beyond taht you can use a Brownian Bridge, regression against similar variables (in return space), or, if you're up to it, EM.

 

[jcchien]

Dear Ken,
thanks for your guide.