The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of … credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these …

reaction is due to real term and inflation risk premia rather than the expectation component of yields. We argue both …

and 40, whereas our risk aversion estimates are considerably lower. The substantial difference indicates that market … improves the fit to the data while keeping relative risk aversion at more reasonable levels …

the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

This paper characterizes the risk-return trade-off in the U.S. Treasury market. We propose a discrete-time no …