In this paper we prove that the price of a defaultable bond, under a Vasicek short rate dynamic coupled with a Cox … intensity of the bond issuer. Employing conditioning and a change of num\'eraire technique, we obtain a manageable … representation of the bond price in this non-affine model which allows us to control its derivatives and assess the convergence of …

Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …