In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

European rescue and stability mechanisms came into force in 2011. EFSF bond issues have been trading as part of the "core" bloc … yields did not show risk spreads that were as large as those in 2012 …

European rescue and stability mechanisms came into force in 2011. EFSF bond issues have been trading as part of the “core” bloc … yields did not show risk spreads that were as large as those in 2012 …

include a liquidity risk premium. We also allow for liquidity effects in nominal bonds. These results are based on a model … with a systematic liquidity risk factor and asset-specific liquidity characteristics. We show that these liquidity (risk …