A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …

depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over … observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided … the term structure estimation are passed on to the Jarrow/Turnbull model and that estimated default intensities strongly …