Develops a three-currency HJM framework treating credit as a separate economy, derives a testable spread identity, and reports a 640bp within-issuer residual on Brazilian debentures largely explained by tax rules.
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Three-Currency HJM for Brazilian Credit Markets
Develops a three-currency HJM framework treating credit as a separate economy, derives a testable spread identity, and reports a 640bp within-issuer residual on Brazilian debentures largely explained by tax rules.