Credit risk in covered bonds
M Prokopczuk, JB Siewert, V Vonhoff - Journal of Empirical Finance, 2013 - Elsevier
Covered bonds are a promising alternative for prime mortgage securitization. In this paper,
we explore risk premia in the covered bond market and particularly investigate whether and …
we explore risk premia in the covered bond market and particularly investigate whether and …
Risk premia in covered bond markets
M Prokopczuk, V Vonhoff - The Journal of Fixed Income, 2012 - search.proquest.com
The authors empirically explore risk premia in mortgage covered bond markets. Using a
large panel dataset of covered bond asset swap spreads, they study the impact of different …
large panel dataset of covered bond asset swap spreads, they study the impact of different …
Are Covered Bonds Different from Asset Securitization Bonds?
J Pinto, MC Correia - Working papers: Management, 2017 - repositorio.ucp.pt
This is the first study comparing the financial characteristics and pricing processes of asset
securitization (AS) and covered bonds (CB). Using a sample of 6,191 AS bonds and 1 1,471 …
securitization (AS) and covered bonds (CB). Using a sample of 6,191 AS bonds and 1 1,471 …
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads
MC Correia, JM Pinto - European Financial Management, 2023 - Wiley Online Library
This study compares credit spreads and pricing determinants of securitization vis‐à‐vis
covered bonds. Our analysis reveals that although ratings are the most important pricing …
covered bonds. Our analysis reveals that although ratings are the most important pricing …
Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
This paper discusses the application of techniques of business analytics in the banking
industry examining stress tests in the context of financial risk management. We focus on the …
industry examining stress tests in the context of financial risk management. We focus on the …
Uncovering the impact of regulatory uncertainty on credit spreads: A study of the US covered bond experience
K Bhanot, CF Larsson - Journal of Financial Markets, 2018 - Elsevier
We examine how regulatory uncertainty impacts the credit spreads of covered bonds issued
by US domiciled banks. Using data on covered bonds issued by Washington Mutual and …
by US domiciled banks. Using data on covered bonds issued by Washington Mutual and …
Private Equity Program Breadth and Strategic Asset Allocation
A Rudin, J Mao, NR Zhang, AM Fink - The Journal of Private Equity, 2019 - JSTOR
It is quite often the case that investors form views on private equity program return and cash
flow profiles by analyzing broad-based swaths of the private equity industry, while side …
flow profiles by analyzing broad-based swaths of the private equity industry, while side …
Evolutionary Developments in Mortgage Securitization: Financial Law Reforms, Putative Beneficiaries, and Archetypal Economic Risks
Y Guseva - Transnat'l L. & Contemp. Probs., 2012 - HeinOnline
Most financial crises entail tidal waves of regulatory reforms. Some changes, such as the
Glass-Steagall Act,'the Sarbanes-Oxley Act (" SOX"), 2 and Regulation AB, 3 offer …
Glass-Steagall Act,'the Sarbanes-Oxley Act (" SOX"), 2 and Regulation AB, 3 offer …
Pricing models of covered bonds—a Nordic study
P Sulku, H Falkenbach - International Journal of Strategic Property …, 2011 - Taylor & Francis
Covered bonds are an alternative way of investing indirectly in the debt side of real estate,
which is beneficial for investors looking for alternatives to government or corporate bonds …
which is beneficial for investors looking for alternatives to government or corporate bonds …
Liquidity and credit risk in fixed income markets
V Vonhoff - None, 2011 - madoc.bib.uni-mannheim.de
Liquidity and Credit Risk in Fixed Income Markets Page 1 Liquidity and Credit Risk in Fixed
Income Markets Inauguraldissertation zur Erlangung des akademischen Grades eines Doktors …
Income Markets Inauguraldissertation zur Erlangung des akademischen Grades eines Doktors …