This paper uses data on German government bond futures options to examine the behaviour of market expectations around … monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …

credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest … differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit …

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the …

-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The … identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs … apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the …

tested using a probit model. The yield spread between the ten-year government bond rate and the threemonth interbank rate …