  We consider a financial market with zero-coupon bonds that are exposed to
credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in
order to account for these two intricately intertwined risk types. We utilise
the foreign exchange analogy that interprets defaultable zero-coupon bonds as a
conversion of non-defaultable foreign counterparts. The relevant exchange rate
is only partially observable in the market filtration, which leads us naturally
to an application of the concept of platonic financial markets. We provide an
example of tractable term structure models that are driven by a two-dimensional
affine jump diffusion. Furthermore, we derive explicit valuation formulae for
marketable products, e.g., for credit default swaps.
