-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …

-benchmark bonds due to higher general risk aversion, and German bonds obtained a safe-haven investment status similar to that of the …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand …

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person … decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk … of many market participants: They are endogenous. We develop a general equilibrium model with endogenous credit risk that …

, of sovereign credit risk, first and foremost through a transfer of risk from the private financial sector to the …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large … factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk premia before the …

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …