realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing … return predictors, including tail risk. The predictability results are robust to out-of-sample tests …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …