A Structural Model with Unobserved Default BoundaryFootnote

Part of this work was done while the first author stayed at the Isaac Newton Institute in Cambridge. Financial support from Isaac Newton Institute and Deutsche Forschungsgemeinschaft is gratefully acknowledged. The authors would like to thank M. Davis, L.C.G. Rogers, K. Giesecke and T. Bjrk for their inspiring comments and Ling Xu for her excellent help with the simulations. Moreover, the authors are grateful to N. Kordzakhia and two anonymous referees for their suggestions which helped to improve the paper considerably.

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