sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A …, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between … Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in …. TOC:Introduction.- On the Economic Content of Models of Default Risk.- Intensity-based Modeling of Default.- The Empirical …

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between … Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in …