negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes …The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly … application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered …

Affine term structure models; Bond return distributions; Corporate bonds; Credit rating; Fixed income portfolios …Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences … 4 assesses the statistical distribution of daily EMU bond returns for the period 1999 to 2012. …