EUR Ratings based curves validity

Hi,

I need EUR sovereign, ratings based curves history and I found the following, for example for 2Y tenor: EUSOVAAAEUR2Y,EUSOVAEUR2Y, EUSOVBBEUR2Y,EUSOVBEUR2Y. How reliable are these curves? What data cleaning steps do you recommend? I will calculate their VaR so to winsor the percentiles wont work.

My another question is: which do you recommend to used?: the swap spread or the asset swap spread field?

Thanks a lot

Judit

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raksina.samasiri

Hi @Juditknagy ,

Thank you for posting the question in this forum. However, this forum is dedicated to an API usage question hence, the moderators on this forum do not have deep expertise in every type of content available through LSEG products. Such expertise is available through LSEG Helpdesk, which can be reached via MyAccount, please provide the content query you'd like to ask and the support team is going to contact you directly to assist with this.

Hope this helps and please let me know in case you have any further questions.

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