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In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …
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This paper presents a new model for term risk, yield curve, and credit risk in spreads in a unified approach. The originality lies in the structuring of the Poisson stochastic of risk in a form suitable for finding the differential equation for the yield curve and its spreads as the Poisson...
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