Government bond yield futures and related option contracts contain information on the asymmetry of interest rate risks …. We construct probability distributions of marketimplied bond yield expectations up to 90 calendar days ahead between … January 2018 and December 2023. We derive daily distributions for German, French, and Italian bond yields as well as bivariate …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …