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 …

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 …

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 …

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 …

Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises

N Stege, C Wegener, T Basse, F Kunze - Annals of Operations Research, 2021 - Springer
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 …

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 …

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 …

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 …

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 …

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 …