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The European corporate bond market and debt portfolio losses in a reduced-form factor model

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Figure

Table 6: Explanation of pricing residuals by individual differences in liquidity and sector affiliation of the issuer
Figure 1: Evolution of corporate spot spreads as implied in coupon bond prices for different levels of default risk.
Figure 2: Term structures of volatility of risk-free rates and corporate spreads of different risk levels
Figure 5: Difference between cumulative distribution functions of diversification scenarios minimal and maximal.

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