Source: http://www.ressources-actuarielles.net/EXT/ISFA/1226-02.nsf/0/ade82923e38fc6abc1257aef00304f5e/$FILE/M%C3%A9moire-risque%20de%20taux,%20risque%20de%20spread%20et%20risque%20de%20liquidit%C3%A9%20-%20sans%20annexes.pdf