JENS HENRIK EGGERT CHRISTENSEN RESEARCH ADVISOR, FINANCIAL RESEARCH FEDERAL RESERVE BANK OF SAN FRANCISCO 101 MARKET STREET, SAN FRANCISCO, CA 94105

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J

ENS

H

ENRIK

E

GGERT

C

HRISTENSEN

R

ESEARCH

A

DVISOR,

F

INANCIAL

R

ESEARCH

F

EDERAL

R

ESERVE

B

ANK OF

S

AN

F

RANCISCO

101 M

ARKET

S

TREET,

S

AN

F

RANCISCO

, CA 94105

JENS

.

CHRISTENSEN

@

SF

.

FRB

.

ORG

415.974.3115

US V

ISA

S

TATUS

:

P

ERMANENT

R

ESIDENT

R

ESEARCH

I

NTERESTS

C

REDIT

R

ISK

M

ODELING

, R

ISK

M

ANAGEMENT

, I

NTEREST

R

ATE

T

ERM

S

TRUCTURE

T

HEORY

E

DUCATION

2007 C

OPENHAGEN

B

USINESS

S

CHOOL

P

H

.D. F

INANCE

2002 U

NIVERSITY OF

C

OPENHAGEN

M.S

C

. E

CONOMICS

1996 U

NIVERSITY OF

C

OPENHAGEN

B.S. E

CONOMICS

D

ISSERTATION

T

OPIC

: ”Default and Recovery Risk Modeling and Estimation”

T

HE ESTIMATION OF CONFIDENCE SETS FOR RATING TRANSITION PROBABILITIES

.

T

HE QUADRATIC AND AFFINE-QUADRATIC ASSET PRICING MODELS

.

J

OINT ESTIMATION OF DEFAULT AND RECOVERY RISK: A SIMULATION STUDY

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OINT ESTIMATION OF DEFAULT AND RECOVERY RISK: AN APPLICATION.

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ANDO AND

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OL

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OL

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O

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PP

.

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NFLATION EXPECTATIONS AND RISK PREMIUMS IN AN ARBITRAGE-FREE MODEL OF NOMINAL AND REAL BOND YIELDS”: WITH

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OSE

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OL

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O

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.

D

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CONOMETRICS

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OL

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OL

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O

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.

R

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OL

. 122, 2012,

PP

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“D

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OL

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32, N

O

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STIMATING SHADOW-RATE TERM STRUCTURE MODELS WITH NEAR-ZERO YIELDS

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.

R

UDEBUSCH,

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CONOMETRICS

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OL

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O

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“A

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R

UDEBUSCH,

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CONOMICS

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OL

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.

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.

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