This paper focuses on the joint dynamics of yield spreads derived from government bonds
issued by member states of the European Monetary Union (EMU). A descriptive analysis …

The work reported in this paper aimed to measure the impact of liquidity on European
Monetary Union (EMU) government bond prices. Although there is a growing theoretical and …

This paper extends the Diebold–Li dynamic Nelson Siegel model to a new asset class,
credit default swaps (CDSs). The similarities between the term structure of CDSs and the …

Many pricing and risk management models need credit spread curves as an input. In the
corporate bond market the estimation of credit spread curves is not trivial. Most issuers have …

The term structure of interest rates is used to price defaultable bonds and credit derivatives,
as well as to infer the quality of bonds for risk management purposes. We introduce a model …

Structural models for pricing risky debt imply a negative relationship between interest rates
and credit spreads. In contrast, credit default swap pricing models assume independence …

The financial crisis began with the collapse of Lehman Brothers and the subprime asset
backed securities debacle. Credit risk was turned into liquidity risk, resulting in a lack of …

This article presents an econometric model to detect whether emerging market sovereign
bonds are trading cheap or expensive. The model is based on the notions that in the long …

Untitled Page 1 Page 2 Jens Daum Risikoadjustierte Performanceanalyse von Anleiheportfolios
Page 3 GABLER RESEARCH Page 4 Jens Daum Risikoadjustierte Performanceanalyse von …

The term structure of interest rates is an important input for basically every pricing model and
is mostly calibrated on coupon bond prices. Therefore, the estimated interest rates should …